An Empirical Quantile Function for Linear Models with iid Errors
- 1 June 1982
- journal article
- research article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 77 (378) , 407-415
- https://doi.org/10.1080/01621459.1982.10477826
Abstract
The regression quantile statistics of Koenker and Bassett (1978) are employed to construct an estimate of the error quantile function in linear models with iid errors. Some finite sample properties and the asymptotic behavior of the proposed estimator are derived. Comparisons with procedures based on residuals are made. The stackloss data of Brownlee (1965) is reanalyzed to illustrate the techniqueKeywords
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