Research Staff

Roger Koenker


McKinley Professor of Economics and Professor of Statistics, University of Illinois

Selected Publications

The ignorant monopolist redux

The classical problem of the monopolist faced with an unknown demand curve is considered in a […]

Roger Koenker
30 October 2019 | CWP57/19
Censored quantile regression survival models with a cure proportion

A new quantile regression model for survival data is proposed that permits a positive proportion of […]

Naveen Narisetty, Roger Koenker
30 October 2019 | CWP56/19
Minimalist G-modelling: A comment on Efron

Efron’s elegant approach to g-modeling for empirical Bayes problems is contrasted with an implementation of the […]

Roger Koenker, Jiaying Gu
3 April 2019 | CWP13/19
Nonparametric maximum likelihood methods for binary response models with random coefficients

Single index linear models for binary response with random coefficients have been extensively employed in many […]

Jiaying Gu, Roger Koenker
21 November 2018 | CWP65/18
Shape constrained density estimation via penalized Rényi divergence

Shape constraints play an increasingly prominent role in nonparametric function estimation. While considerable recent attention has […]

Roger Koenker, Ivan Mizera
18 September 2018 | CWP54/18
Testing for homogeneity in mixture models

Statistical models of unobserved heterogeneity are typically formalized as mixtures of simple parametric models and interest […]

Jiaying Gu, Roger Koenker, Stanislav Volgushev
10 August 2017 | CWP39/17
Bayesian deconvolution: an R vinaigrette

Nonparametric maximum likelihood estimation of general mixture models pioneered by the work of Kiefer and Wolfowitz […]

Roger Koenker
10 August 2017 | CWP38/17
Rebayes: an R package for empirical bayes mixture methods

Models of unobserved heterogeneity, or frailty as it is commonly known in survival analysis, can often […]

Jiaying Gu, Roger Koenker
10 August 2017 | CWP37/17
Quantile regression 40 years on

Since Quetelet’s work in the 19th century social science has iconified “the average man”, that hypothetical […]

Roger Koenker
10 August 2017 | CWP36/17
Unobserved heterogeneity in income dynamics: an empirical Bayes perspective

Empirical Bayes methods for Gaussian compound decision problems involving longitudinal data are considered. The new convex […]

Jiaying Gu, Roger Koenker
11 June 2015 | Journal Article

Previous version

Unobserved heterogeneity in income dynamics: an empirical Bayes perspective
Jiaying Gu, Roger Koenker
4 November 2014 | CWP43/14