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Dual regression

Authors: Richard Spady and Sami Stouli
Date: 13 January 2016
Type: cemmap Working Paper, CWP04/16
DOI: 10.1920/wp.cem.2016.0516


We propose an alternative ('dual regression') to the quantile regression process for the global estimation of conditional distribution functions under minimal assumptions. Dual regression provides all the interpretational power of the quantile regression process while largely avoiding the need for `rearrangement' to repair the intersecting conditional quantile surfaces that quantile regression often produces in practice. Our approach relies on a mathematical programming characterization of conditional distribution functions which, in its simplest form, provides a simultaneous estimator of location and scale parameters in a linear heteroscedastic model. The statistical properties of this estimator are derived.

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Richard Spady and Sami Stouli January 2019, Dual regression, cemmap Working Paper, CWP01/19, The IFS

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