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2008 03 No.90 89-96
分位数回归技术综述
基金项目(Foundation): 教育部人文社科重点研究基地基金项目《中国地区间收入分配差异与劳动力转移的经济增长效应分析》(07JJD790145);; 教育部人文社科研究基金项目《数据挖掘中关联规则的统计研究和应用》(2006JA910003)
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厦门大学宏观经济研究中心,厦门大学宏观经济研究中心 福建厦门361005,福建厦门361005

摘要(Abstract):

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。

关键词(KeyWords): OLS回归;;分位数回归;;估计;;检验;;应用
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基本信息:

DOI:

中图分类号:O212

引用信息:

[1]陈建宝,丁军军.分位数回归技术综述[J].统计与信息论坛,2008,No.90(03):89-96.

基金信息:

教育部人文社科重点研究基地基金项目《中国地区间收入分配差异与劳动力转移的经济增长效应分析》(07JJD790145);; 教育部人文社科研究基金项目《数据挖掘中关联规则的统计研究和应用》(2006JA910003)

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