67
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Mid-quantile regression for discrete panel data

, ORCID Icon &
Received 16 Aug 2023, Accepted 30 Apr 2024, Published online: 15 May 2024

References

  • Koenker R, Bassett G. Regression quantiles. Econometrica. 1978;46(1):33–50. doi: 10.2307/1913643
  • Koenker R. Quantile regression for longitudinal data. J Multivar Anal. 2004;91(1):74–89. doi: 10.1016/j.jmva.2004.05.006
  • Lamarche C. Robust penalized quantile regression estimation for panel data. J Econom. 2010;157(2):396–408. doi: 10.1016/j.jeconom.2010.03.042
  • Geraci M, Bottai M. Quantile regression for longitudinal data using the asymmetric laplace distribution. Biostatistics. 2007;8(1):140–154. doi: 10.1093/biostatistics/kxj039
  • Geraci M, Bottai M. Linear quantile mixed models. Stat Comput. 2014;24(3):461–479. doi: 10.1007/s11222-013-9381-9
  • Yuan Y, Yin G. Bayesian quantile regression for longitudinal studies with nonignorable missing data. Biometrics. 2010;66(1):105–114. doi: 10.1111/biom.2010.66.issue-1
  • Kim M-O, Yang Y. Semiparametric approach to a random effects quantile regression model. J Am Stat Assoc. 2011;106(496):1405–1417. doi: 10.1198/jasa.2011.tm10470
  • Huang Y, Chen J. Bayesian quantile regression-based nonlinear mixed-effects joint models for time-to-event and longitudinal data with multiple features. Stat Med. 2016;35(30):5666–5685. doi: 10.1002/sim.v35.30
  • Congdon P. Quantile regression for area disease counts: Bayesian estimation using generalized poisson regression. Int J Stat Med Res. 2017;6(3):92–103. doi: 10.6000/1929-6029.2017.06.03.1
  • Arellano M, Bonhomme S.. Nonlinear panel data estimation via quantile regressions. Econom J. 2016;19(3):C61–C94. doi: 10.1111/ectj.12062
  • Farcomeni A. Quantile regression for longitudinal data based on latent Markov subject-specific parameters. Stat Comput. 2012;22(1):141–152. doi: 10.1007/s11222-010-9213-0
  • Marino MF, Farcomeni A. Linear quantile regression models for longitudinal experiments: an overview. METRON. 2015;73(2):229–247. doi: 10.1007/s40300-015-0072-5
  • Ma Y, Genton MG, Parzen E. Asymptotic properties of sample quantiles of discrete distributions. Ann Inst Stat Math. 2011;63(2):227–243. doi: 10.1007/s10463-008-0215-z
  • Machado JAF, Santos Silva JMC. Quantiles for counts. J Am Stat Assoc. 2005;100(472):1226–1237. doi: 10.1198/016214505000000330
  • Geraci M, Farcomeni A. Mid-quantile regression for discrete responses. Stat Methods Med Res. 2022;31(5):821–838. doi: 10.1177/09622802211060525
  • Parzen E. Change PP plot and continuous sample quantile function. Commun Stat – Theory Methods. 1993;22(12):3287–3304. doi: 10.1080/03610929308831216
  • Parzen E. Quantile probability and statistical data modeling. Stat Sci. 2004;19(4):652–662. doi: 10.1214/088342304000000387
  • Lee M. Median regression for ordered discrete response. J Econom. 1992;51(1–2):59–77. doi: 10.1016/0304-4076(92)90029-Q
  • Kordas G. Smoothed binary regression quantiles. J Appl Econom. 2006;21(3):387–407. doi: 10.1002/jae.v21:3
  • Harding M, Lamarche C. Penalized estimation of a quantile count model for panel data. Ann Econ Stat. 2019;134(134):177–206. doi: 10.15609/annaeconstat2009.134.0177
  • Chernozhukov V, Fernandez-Val I, Melly B, et al. Generic inference on quantile and quantile effect functions for discrete outcomes. J Am Stat Assoc. 2020;115(529):123–137. doi: 10.1080/01621459.2019.1611581
  • Peracchi F. On estimating conditional quantiles and distribution functions. Comput Stat Data Anal. 2002;38(4):433–447. doi: 10.1016/S0167-9473(01)00070-6
  • Ruppert D, Wand MP, Carroll RJ. Semiparametric regression. Cambridge (UK): Cambridge University Press; 2003.
  • Galati G, Moessner R. Macroprudential policy – a literature review. J Econ Surv. 2013;27(5):846–878. doi: 10.1111/joes.2013.27.issue-5
  • Boar C, Gambacorta L, Lombardo G, et al. What are the effects of macroprudential policies on macroeconomic performance? BIS Quarterly Rev. 2017. 1–18.
  • Laeven ML, Igan MDO, Tong MH, et al. Policies for macrofinancial stability: how to deal with credit booms, IMF staff discussion notes. International Monetary Fund; 2012.
  • Jiménez G, Ongena S, Peydró J-L, et al. Macroprudential policy, countercyclical bank capital buffers, and credit supply: evidence from the spanish dynamic provisioning experiments. J Political Econ. 2017;125(6):2126–2177. doi: 10.1086/694289
  • Claessens S, Ghosh SR, Mihet R. Macro-prudential policies to mitigate financial system vulnerabilities. J Int Money Finance. 2013;39:153–185. doi: 10.1016/j.jimonfin.2013.06.023
  • Cerutti E, Claessens S, Laeven L. The use and effectiveness of macroprudential policies: new evidence. J Financ Stab. 2017;28:203–224. doi: 10.1016/j.jfs.2015.10.004
  • Mbaye S, Badia MM, Chae K. Global debt database: Methodology and sources. IMF Working Papers (2018/111), 2018. p. 1–52.
  • Feng X, Liu Q, Wang C. A lack-of-fit test for quantile regression process models. Stat Probab Lett. 2023;192:109680. doi: 10.1016/j.spl.2022.109680
  • Farcomeni A, Viviani S. Longitudinal quantile regression in presence of informative drop-out through longitudinal-survival joint modeling. Stat Med. 2015;34(7):1199–1213. doi: 10.1002/sim.v34.7

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.