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Journal of the American Statistical Association Volume 77, 1982 - Issue 378
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Theory and Method

An Empirical Quantile Function for Linear Models with iid Errors

Gilbert Bassett Jr. University of Illinois at Chicago Circle, Chicago, IL, 60680, USA
&
Roger Koenker Bell Laboratories, Murray Hill, NJ, 07974, USA
Pages 407-415 | Received 01 Mar 1979, Published online: 12 Mar 2012
 
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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

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