Properties of Transformation Quantile Regression Model

• Autorzy: Grażyna Trzpiot

Warianty tytułu

Własności transformacji modelu regresji kwantylowej

• Języki publikacji: EN

Abstrakty

EN

We present in this paper a few important direction on research using quantile regression. We start from some motivation for this method of regression. Secondly we present some main areas of application this method. Finally we wanted to point out transformation of the main model. This model, introduced by Powell (1991) and further analyzed by Chamberlain (1994) and Buchinsky (1995), specifies the conditional quantiles of the Box-Cox transformation of the variable under appraisal as a linear function of the covariates. It provides, within a simple set-up, the needed flexibility, as both the transformation parameter and the coefficients of the linear function are allowed to vary freely at each point of the distribution. The Box-Cox quantile regression, which has the linear and log-linear models as particular cases, will provide, therefore, a direct answer to the question of the appropriate transformation to be used. (original abstract)

Przedstawiamy artykuł, w którym omawiamy modele regresji kwantylowej. Omawiamy motywacje dla stosowania klasycznego modelu, jak również główne kierunki zastosowań regresji kwantylowej. Następnie przechodzimy do transformacji podstawowego modelu. Ten model jest wprowadzony przez Powell'a (1991) a kolejno analizowany przez Chamberlain'a (1994) i Buchinsky'ego (1995), wprowadzono specyficzne warunkowe kwantyle znane jako transformacja Box-Cox'a. Omawiamy estymację modeli oraz testy istotności. (abstrakt oryginalny)

Słowa kluczowe

EN

Quantile regression; Regression models; Log-linear models

PL

Regresja kwantylowa; Modele regresji; Modele logarytmiczno-liniowe

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2013
• Tom: 285 Multivariate Statistical Analysis Theory and Practice
• Strony: 125--137

Twórcy

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

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