La régression quantile en pratique

Givord, Pauline

doi:10.3406/estat.2014.10484

Cited by 18 publications

(7 citation statements)

References 30 publications

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“…It is more robust than OLS because there is no need to do any distributional assumption about the error term, contrary to the normality assumption in the standard regression model. In clear, quantile regression is, by construction, particularly robust to extreme values (Haultfoeuille D' and Givord (), p. 7). The linear conditional quantile function can be estimated by solving the following minimization problem:

{\overset{γ}{true}}_{n_{u}} (q) = {argmin}_{γ (q)} E ({}, ς_{q} ((), Y - X^{'} γ (q)))

…”

Section: Discussionmentioning

confidence: 99%

Disentangling Crashes from Tail Events

Aboura

2015

Int. J Fin Econ

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The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to the French stock market . In contrast with the common sense, it claims that crashes happen when the volatility is the lowest. Our empirical results indicate that the French stock market experienced only two crashes in 2007-2008 among the 12 identified over the whole period.

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{\overset{γ}{true}}_{n_{u}} (q) = {argmin}_{γ (q)} E ({}, ς_{q} ((), Y - X^{'} γ (q)))

…”

Section: Discussionmentioning

confidence: 99%

Disentangling Crashes from Tail Events

Aboura

2015

Int. J Fin Econ

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“…Moreover, in order to improve the robustness and to verify and confirm the veracity of the results obtained by the parametric model, it is necessary to estimate the econometric model according to the non-parametric model by using the quantile regression. Indeed, this latter is considered to be an integral part of the most appropriate statistical tools, which offers a richer and more flexible regression than classical linear regression (D'haultfoeuille & Givord, 2014). Therefore, by examining the results presented in the picture below, the overall estimation of the non-parametric model is similar as the parametric model considering that Considering the results of the quantile regression model, the independent variable corresponding to the tax burden is significant at the level of 1%, which is consistent with the results obtained by the Prais-Winsten regression model.…”

Section: Methodsmentioning

confidence: 99%

The Cooperative Taxation Controversy : a Conceptual and an Econometric Model

Rhaddioui

Ahrouch

2022

JABTER

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Cooperatives are an integral and an essential part of the social and solidarity economy, as it has a dual role by contributing greatly to the local socio-economic development. Thereby, these social entities are considered as tools to satisfy the economic and the social Society’s needs. Thus, the cooperatives are subject to several legal restrictions and constraints in relation to the nature of the activity exercised, compared to the counterpart entities. Moreover, to overcome these compulsions, most of government grants these social entities a set of taxes grace. Nevertheless, the activity expansion of certain cooperatives has aroused the demonstration of its competitors arguing that these tax exemptions leads to unfair competition, in return the cooperatives subject to this claim, defend their position by affirming that their activity generate certainly profits, but it contribute greatly to the social aspect. Therefore, the present research consisted in the study of the taxation’s effect on dairy processing cooperatives in Morocco at the commercial, financial and social level in order to resolve this taxation controversy. Thereby, this study was carried out according to a quantitative study on the leading cooperatives of the dairy sector in Morocco, by using the econometric software STATA on the basis of the conceptual and the econometric model appropriate to the research theme.

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“…This questioning can't be enlightened under the hypothesis of linearity, is possible using the quantile regression methodology of Bassett (1978. According D'Holffoueille andGivord (2014), it's true because there is generally high heterogeneity in the data's from household surveys, as the data using in this study.…”

Section: Introductionmentioning

confidence: 92%

Distributional effect of international remittances on household expenditure: Evidence from Cameroon

MEKA'A¹,

BITA²,

NOUFELIE³

2022

Preprint

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In this study, we examine the distributional effect of international remittances on household expenditures in Cameroon. We define non-poor (poor) and recipient households as those who have access to remittances and allocate a large (small) proportion of their budgets on health, education and/or food. Following this definition, our study uses the quantile regression method and migration observatory data from the Africa and Caribbean (2012) survey, to empirically examine the relation. Results show however that remittances negatively affect the three expenditure items, but only the relation between remittances and food expenditures show statistically significant outcomes. In respect to the quantile distribution method, we find a negative average effect of remittances on food expenditure. In addition, the effect of remittances on the expenditure of less poor household is positive at a large magnitude. This result hence suggests increased economic inequalities resulting from increased remittances. Our finding further confirm the hypothesis stipulating that: adverse distributional effect of remittances depend on household ability to finance the migration cost. We therefore agree with already existing conclusions in the economic literature.

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La régression quantile en pratique

Cited by 18 publications

References 30 publications

Disentangling Crashes from Tail Events

Disentangling Crashes from Tail Events

The Cooperative Taxation Controversy : a Conceptual and an Econometric Model

Distributional effect of international remittances on household expenditure: Evidence from Cameroon

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