The lectures for the "Quantile Regression" segment of the 2003 NAKE workshop to be given by Roger Koenker will be divided into the following five topics, suggested readings appear below each topic and are available in pdf format.

1. Introduction to Quantile Regression
Koenker, R, (2003) NAKE Workshop Handout.
Koenker, R, (2003) Exercises in Quantile Regression.
Koenker, R, and Bassett, G. (1978) Regression Quantiles, Econometrica, 46, 33-50.

2. Inference for Quantile Regression with Applications to Duration Analysis
Koenker, R. and O. Geling, (2001) Reappraising Medfly Longevity: A Quantile Regression Approach, J. of Am Stat. Assoc., 96, 458-468.
Koenker, R. and Z. Xiao, (2002) Inference on the Quantile Regression Process, Econometrica, 81, 1583--1612..

3. Nonparametric Methods for Quantile Regression
Koenker, R., P. Ng and S. Portnoy, (1994) Quantile Smoothing Splines, Biometrika, 81, 673-680.
Koenker, R. and I. Mizera, (2003) Penalized Triograms: Total Variation Regularization for Bivariate Smoothing, J. Royal Stat. Soc, forthcoming.

4. Quantile Regression Methods for Recursive Structural Models
Chesher, A. (2003) Identification in Nonseparable Models , Econometrica. 71, 1405-42.
L. Ma and Koenker, R.(2003) Quantile Regression Methods for Recursive Structural Models, Technical Report.

5. Pessimistic Portfolio Allocation and Choquet Expected Utility
Bassett, G., R. Koenker and G. Kordas, (2002) Pessimistic Portfolio Allocation and Choquet Expected Utility, technical report.