Efficient quantile regression with auxiliary information

Müller, Ursula;Van Keilegom, Ingrid
(2013) , 10 pages

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Authors
  • Müller, UrsulaTexas A M University, College Station, TX, USA
    Author
  • Van Keilegom, IngridUCLouvain
    Author
Abstract
We discuss ecient estimation in quantile regression models where the quantile regression function is modeled parametrically. Additionally we assume that auxiliary information is available in the form of a conditional constraint. This is, for example, the case if the mean regression function or the variance function can be modeled parametrically, e.g. by a line or a polynomial. In this paper we describe ecient estimators of parameters of the quantile regression function for general conditional constraints and for examples of more specic constraints. We do this more generally for a model with responses missing at random, for which an ecient estimator is provided by a complete case statistic. This covers the usual model as a special case. We discuss several examples and illustrate the results with simulations.
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Müller, U., & Van Keilegom, I. (2013). Efficient quantile regression with auxiliary information (ISBA Discussion paper 2013/11). https://hdl.handle.net/2078.5/268354