Which quantile is the most Informative? Maximum likelihood, maximum entropy and quantile regression

Anil K. Bera, Antonio F. Galvao, Gabriel V. Montes-Rojas, Sung Y. Park

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish (US)
Title of host publicationEconometric Methods and Their Applications in Finance, Macro and Related Fields
PublisherWorld Scientific Publishing Co.
Pages167-199
Number of pages33
ISBN (Electronic)9789814513470
ISBN (Print)9789814513463
DOIs
StatePublished - Jan 1 2014

Keywords

  • Asymmetric laplace distribution
  • Quantile regression
  • Treatment effects

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

Cite this

Bera, A. K., Galvao, A. F., Montes-Rojas, G. V., & Park, S. Y. (2014). Which quantile is the most Informative? Maximum likelihood, maximum entropy and quantile regression. In Econometric Methods and Their Applications in Finance, Macro and Related Fields (pp. 167-199). World Scientific Publishing Co.. https://doi.org/10.1142/9789814513470_0007