关于估计折线分位数回归模型的注释。
A note on estimating the bent line quantile regression model.
作者信息
Yan Yanyang, Zhang Feipeng, Zhou Xiaoying
机构信息
School of Finance and Statistics, Hunan University, Changsha 410082, China.
出版信息
Comput Stat. 2017 Jun;32(2):611-630. Epub 2017 Feb 9.
This paper considers a new estimating method for the bent line quantile regression model. By a simple linearization technique, the proposed method can simultaneously obtain the estimates of the regression coefficients and the change-point location. Moreover, it can be readily implemented by current software. Simulation studies demonstrate that the proposed method has good finite sample performance. Two empirical applications are also presented to illustrate the method.
本文考虑了一种用于折线分位数回归模型的新估计方法。通过一种简单的线性化技术，所提出的方法能够同时获得回归系数和变点位置的估计值。此外，它可以很容易地通过当前软件实现。模拟研究表明，所提出的方法具有良好的有限样本性能。还给出了两个实证应用来说明该方法。
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