Quantile Regression

Applications on Experimental and Cross Section Data using EViews

I. Gusti Ngurah Agung

• Publisher: Wiley
• Year: 2021
• Print ISBN: 9781119715177
• eBook ISBN: 9781119715184
• Edition: 1
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

QUANTILE REGRESSION

A thorough presentation of Quantile Regression designed to help readers obtain richer information from data analyses

The conditional least-square or mean-regression (MR) analysis is the quantitative research method used to model and analyze the relationships between a dependent variable and one or more independent variables, where each equation estimation of a regression can give only a single regression function or fitted values variable. As an advanced mean regression analysis, each estimation equation of the mean-regression can be used directly to estimate the conditional quantile regression (QR), which can quickly present the statistical results of a set nine QR(?)s for ?(tau)s from 0.1 up to 0.9 to predict detail distribution of the response or criterion variable. QR is an important analytical tool in many disciplines such as statistics, econometrics, ecology, healthcare, andengineering.

Quantile Regression: Applications on Experimental and Cross Section Data Using EViews provides examples of statistical results of various QR analyses based on experimental and cross section data of a variety of regression models. The author covers the applications of one-way, two-way, and n-way ANOVA quantile regressions, QRs with multi numerical predictors, heterogeneous QRs, and latent variables QRs, amongst others. Throughout the text, readers learn how to develop the best possible quantile regressions and how to conduct more advanced analysis using methods such as the quantile process, the Wald test, the redundant variables test, residual analysis, the stability test, and the omitted variables test. This rigorous volume:

• Describes how QR can provide a more detailed picture of the relationships between independent variables and the quantiles of the criterion variable, by using the least-square regression
• Presents the applications of the test for any quantile of any numerical response or ­criterion variable
• Explores relationship of QR with heterogeneity: how an independent variable affects a dependent variable
• Offers expert guidance on forecasting and how to draw the best conclusions from the results obtained
• Provides a step-by-step estimation method and guide to enable readers to conduct QR analysis using their own data sets
• Includes a detailed comparison of conditional QR and conditional mean regression

Quantile Regression: Applications on Experimental and Cross Section Data Using EViews is a highly useful resource for students and lecturers in statistics, data analysis, econometrics, engineering, ecology, and healthcare, particularly those specializing in regression andquantitative data analysis.

1
Test for the Equality of Medians by Series/Group of Variables

1.1 Introduction

I consider the test for equality of medians of a numerical or ordinal endogenous or objective variable by series/group of categorical variables as the earliest nonparametric test statistic. It also is called the distribution free test because it does not rely on the population distribution.

EViews provides a specific test for equality of the medians of any numerical or ordinal categorical variable, say Y1, categorized or classified by series/group of variables, either numerical or categorical. However, the numerical predictors will be directly transformed to ordinal categorical factors. The steps of the analysis are as...

Table of contents

• Cover
• Table of Contents
• Title Page
• Copyright
• Dedication
• Preface
• About the Author
• 1 Test for the Equality of Medians by Series/Group of Variables
• 2 One‐ and Two‐way ANOVA Quantile Regressions
• 3 N-Way ANOVA Quantile Regressions
• 4 Quantile Regressions Based on (X1,Y1)
• 5 Quantile Regressions with Two Numerical Predictors
• 6 Quantile Regressions with Multiple Numerical Predictors
• 7 Quantile Regressions with the Ranks of Numerical Predictors
• 8 Heterogeneous Quantile Regressions Based on Experimental Data
• 9 Quantile Regressions Based on CPS88.wf1
• 10 Quantile Regressions of a Latent Variable
• Appendix A: Mean and Quantile Regressions
• Appendix B: Applications of the t‐Test Statistic for Testing Alternative Hypotheses
• Appendix C: Applications of Factor Analysis
• References
• Index
• End User License Agreement