Abstract This paper proposes tests for equality of the mean regression (MR) and quantile regression (QR) coefficients. The tests are based on the asymptotic joint distribution of the ordinary least squares and QR estimators. First, we formally derive the asymptotic joint distribution of these...

Abstract This paper studies the connections among the asymmetric Laplace probability density (ALPD), maximum likelihood, maximum entropy and quantile regression. We show that the maximum likelihood problem is equivalent to the solution of a maximum entropy problem where we impose moment...