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Koenker, R. and K. Hallock (2001), ‘Quantile Regression’, Journal of Economic Perspectives, 15, 143-156.
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Buchinsky, M., (1998), ‘Recent Advances in Quantile Regression Models: A practical guide for empirical research’, Journal of Human Resources, 33, 88-126.
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| 2. Computation |
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Koenker, R. (2002), ‘Quantile Regression Reference Manual for R’.
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Portnoy, S. and R. Koenker (1997), ‘The Gaussian Hare and the Laplacian Tortoise: Computability of Squared-error vs. Absolute-error Estimators’, Statistical Science, 12, 279-300.
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3. Duration Models
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Koenker, R., and O. Geling (2001), ‘Reappraising Medfly Longevity: A quantile regression survival analysis,’ Journal of the American Statistical Association, 96, 458-468.
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4. Censoring and Binary Response
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Powell, J.L. (1986), ‘Censored regression quantiles’, J. of Econometrics, 32, 143-55.
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| Kordas, G. (2001), ‘Smoothed Binary Regression Quantiles’. |
| Portnoy, S. (2002), ‘Censored Regression Quantiles’ |
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| 5. Inference |
| Gutenbrunner, C., J. Jureckova, R. Koenker, and S. Portnoy, (1993), ‘Tests of Linear Hypotheses based on Regression Rank Scores’, Journal of Nonparametric Statistics, 2, 307-331. |
| Koenker, R., and J. Machado (1999), ‘Goodness of fit and related inference processes for quantile regression,’ Journal of the American Statistical Association, 94, 1296-1310. |
| Koenker R., Z. Xiao (2001), ‘Inference on the Quantile Regression Process’, Econometrica, 70, 1583-1604. |
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| 6. Non-parametric Quantile Regression |
| Welsh, A.H. (1996), ‘Robust estimation of smooth regression and spread functions and their derivatives’, Statistica Sinica, 6, 347-366. |
| Koenker, R., P. Ng, and S. Portnoy (1994), ‘Quantile Smoothing Splines,’ Biometrika, 81, 673-8 |
| Koenker, R. and I. Mizera (2002), ‘Penalized Triograms: Total Variation Regularization for Bivariate Smoothing’. |
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| 7. Portfolio Allocation |
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