Research Staff
Roger Koenker
UCL
McKinley Professor of Economics and Professor of Statistics, University of Illinois
Selected Publications
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 […]
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The median is the message: Wilson and Hilferty’s reanalysis of C.S. Peirce’s experiments on the law of errors
Data is reanalyzed from an important series of 19th century experiments conducted by C. S. Peirce […]
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Copula-based nonlinear quantile autoregression
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. […]
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Quantile regression methods for recursive structural equation models
Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) […]
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Pessimistic portfolio allocation and Choquet expected utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory […]