Much of my research deals with quantile regression. This work aims to provide a comprehensive approach to the estimation of conditional quantile functions, thus providing a more complete analysis of the stochastic relationship between economic variables than that provided by classical linear regression which restricts attention to estimation and inference about conditional mean functions. Recent work focuses more on nonparametric density estimation with penalty methods, and most recently empirical Bayes methods. References to this and earlier work may be found by perusing the following links:

Convex Optimization Survey

Empirical Bayes and Mixtures

The Ignorant Monopolist Redux

Additive Models and Confidence Bandaids

Quasi-Concave Density Estimation

Censored Quantile Regression

Bayes in the Baño

Reproducible Econometric Research

The Median is the Message

Quantile Regression Bracketology

Parametric Links for Binary Response Models

Density Estimation by Total Variation Regularization

Quantile Regression Methods for for Reference Growth Charts,

Quantile Regression Methods for Recursive Structural Equation Models,

Quantile Regression for Longitudinal Data,

Quantile Autoregression,

A Sparse Frisch-Newton Algorithm for Quantile Regression

Inequality Constrained Quantile Regression

SparseM: A Sparse Matrix Package for R

Pessimistic Portfolio Allocation and
Choquet Expected Utility

Penalized Triograms: Total Variation
Regularization for Bivariate Smoothing

Quantile Regression an Introduction

Inference on the Quantile Regression Process

Pathological Regression Asymptotics

Duration Models for Unemployment

Survival Analysis for Medflies

Goodness of Fit for Quantile Regression

Galton, Edgeworth, Frisch ...

Quantile Regression Software

Hare and Tortoise: l1 vs l2 Computation

Nonlinear Quantile Regression

Quantile Smoothing Splines

Weighted Quantile Regression

Confidence Intevals for Quantile Regression

Quantile Regression for ARCH Models

Rank Tests for Linear Models

Two papers on GMM

Rank Tests for Unit Roots

Send comments and suggestions to
roger@ysidro.econ.uiuc.edu