Search Results - subject:"quantile regression."

Quantile Regression in the Presence of Sample Selection

Huber, Martin; Melly, Blaise - School of Economics and Political Science, Universität … - 2011

the null hypothesis. We propose tests for this crucial restriction that are based on the entire conditional quantile … regression process after correcting for sample selection bias. Monte Carlo simulations demonstrate that they are powerful and two …

Persistent link: https://www.econbiz.de/10008874628

Overweight and poor? On the relationship between income and the body mass index

Jolliffe, Dean - In: Economics & Human Biology 9 (2011) 4, pp. 342-355

nonpoor throughout the last 35 years. The second finding is from a newly introduced estimator, unconditional quantile … regression (UQR), which provides a measure of the income-gradient in BMI at different points on the unconditional BMI …

Persistent link: https://www.econbiz.de/10010577751

A Quantile Analysis of Default Risk for Speculative and Emerging Companies

Allen, David E; Kramadibrata, Akhmad R.; Powell, R. J.; … - School of Business, Edith Cowan University - 2011

Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and … different economic circumstances. Quantile Regression splits the data into parts or quantiles, thus allowing default risk to be …

Persistent link: https://www.econbiz.de/10009421880

Comparing Australian and US Corporate Default Risk using Quantile Regression

Allen, David E; Kramadibrata, Akhmad R.; Powell, R. J.; … - School of Business, Edith Cowan University - 2011

major world economies. This paper applies quantile regression and Monte Carlo simulation to the Merton structural credit … comparison to the USA. Quantile regression allows modelling of the extreme quantiles of a distribution which allows measurement …

Persistent link: https://www.econbiz.de/10009421882

A Quantile Monte Carlo approach to measuring extreme credit risk

Allen, David E; Boffey, R.R; Powell, R. J. - School of Business, Edith Cowan University - 2011

Quantile Regression techniques to the Merton structural credit model. Two research questions are addressed in this study. The …

Persistent link: https://www.econbiz.de/10009421884

Volatility forecasting of exchange rate by quantile regression

Huang, Alex YiHou; Peng, Sheng-Pen; Li, Fangjhy; Ke, … - In: International Review of Economics & Finance 20 (2011) 4, pp. 591-606

functions themselves vary with time. Quantile regression allows one to predict the volatility of time series without assuming an … quantile regression utilizing a uniformly spaced series of estimated quantiles. Based on empirical evidence of nine exchange …

Persistent link: https://www.econbiz.de/10009194691

Demographic, Residential, and Socioeconomic Effects on the Distribution of the Statures of Whites in the Nineteenth-Century U.S.

CARSON, SCOTT - In: Mathematical Population Studies 18 (2011) 1, pp. 1-17

Nineteenth-century U.S. state prison records contain information on European-American stature. The most commonly mentioned reasons for stature variation were diets, disease, and work effort. The statures of whites were positively associated with direct sunlight. Stature and insolation were...

Persistent link: https://www.econbiz.de/10009205485

Cross-distributional robustness of conditional weekday effects: evidence from European equity-index returns

Hogholm, Kenneth; Knif, Johan; Pynnonen, Seppo - In: The European Journal of Finance 17 (2011) 5-6, pp. 377-390

The paper re-examines the issue of the robustness of the weekday effect. Specifically, by utilizing a quantile … regression approach, the homogeneity of observed day-of-the-week anomalies is monitored and tested over different parts of the …

Persistent link: https://www.econbiz.de/10009213930

Determinants of Regional Economic Growth by Quantile

regstdpo-Cuaresma, Jesus; Foster, Neil; Stehrer, Robert - In: Regional Studies 45 (2011) 6, pp. 809-826

. The robustness of growth determinants across European Union regions is analysed using quantile regression. Using Bayesian … model averaging (BMA) on the class of quantile regression models, it is proposed that the set of relevant covariates is …

Persistent link: https://www.econbiz.de/10009224316

Firm Growth in the Retail and Wholesale Trade Sectors – Evidence from Sweden

Daunfeldt, Sven-Olov; Lang, Åsa; Macuchova, Zuzana; … - Handelns Utredningsinstitut (HUI Research) - 2011

period 1998- 2004, we analyze a sample of 400 limited companies using quantile regression techniques. Our results indicate …

Persistent link: https://www.econbiz.de/10009225859