Abstract
The regression quantile statistics of Koenker and Bassett (1978) are employed to construct an estimate of the error quantile function in linear models with iid errors. Some finite sample properties and the asymptotic behavior of the proposed estimator are derived. Comparisons with procedures based on residuals are made. The stackloss data of Brownlee (1965) is reanalyzed to illustrate the technique.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 407-415 |
| Number of pages | 9 |
| Journal | Journal of the American Statistical Association |
| Volume | 77 |
| Issue number | 378 |
| DOIs | |
| State | Published - Jun 1982 |
| Externally published | Yes |
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty