Journal Article

Bayesian quantile regression methods


Tony Lancaster, Sung Jae Jun

Published Date

2 April 2009


Journal Article

This paper is a study of the application of Bayesian exponentially tilted empirical likelihood to inference about quantile regressions. In the case of simple quantiles we show the exact form for the likelihood implied by this method and compare it with the Bayesian bootstrap and with Jeffreys’ method. For regression quantiles we derive the asymptotic form of the posterior density. We also examine Markov chain Monte Carlo simulations with a proposal density formed from an overdispersed version of the limiting normal density. We show that the algorithm works well even in models with an endogenous regressor when the instruments are not too weak.

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Bayesian quantile regression
Sung Jae Jun, Tony Lancaster