Werker, Bas J.M.; Hallin, M.; Vermandele, C. - Tilburg University, Center for Economic Research - 2004
Since the pioneering work of Koenker and Bassett (1978), econometric models involving median and quantile rather than … the classical mean or conditional mean concepts have attracted much interest.Contrary to the traditional models where the … noise is assumed to have mean zero, median-restricted models enjoy a rich group-invariance structure.In this paper, we …