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Bayesian quantile regression methods
Author(s) -
Lancaster Tony,
Jae Jun Sung
Publication year - 2010
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1069
Subject(s) - quantile , quantile regression , markov chain monte carlo , bayesian probability , econometrics , mathematics , bayesian linear regression , statistics , bayesian inference , inference , markov chain , computer science , artificial intelligence
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. Copyright © 2009 John Wiley & Sons, Ltd.