分位数回归技术综述

被引：140

作者：

陈建宝

丁军军

机构：

[1] 厦门大学宏观经济研究中心

来源：

统计与信息论坛 | 2008年 / 03期

关键词：

OLS回归; 分位数回归; 估计; 检验; 应用;

D O I：

暂无

中图分类号：

O212 [数理统计];

学科分类号：

摘要：

普通最小二乘回归建立了在自变量X=x下因变量Y的条件均值与X的关系的线性模型。而分位数回归(Quantile Regression)则利用自变量X和因变量Y的条件分位数进行建模。与普通的均值回归相比,它能充分反映自变量X对于因变量Y的分布的位置、刻度和形状的影响,有着十分广泛的应用,尤其是对于一些非常关注尾部特征的情况。文章介绍了分位数回归的概念以及分位数回归的估计、检验和拟合优度,回顾了分位数回归的发展过程以及其在一些经济研究领域中的应用,最后做了总结。

引用

页码：89 / 96

页数：8

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