QR Bracketology

March Madness, Quantile Regression Bracketology and the Hayek Hypothesis
Roger Koenker and Gib Bassett

Abstract: A quantile regression variant of the classical paired comparison model of mean ratings is proposed. The model is estimated using data for the regular 2004-05 U.S. college basketball season, and evaluated based on predictive performance for the 2005 NCAA basketball tournament. Mildly favorable betting opportunities are thus revealed. The methodology provides a general approach to the problem of conditional density forecasting.

The paper is available in pdf. There is also an Eppendix with some extra figures and a table of team rankings. The paper appeared in JBES in 2010. Data and software for the paper are packaged in unix tar.gz form. (This file is roughly 15Mb in this compressed form. Comments are, of course, always welcome.