Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80205
Authors: 
Lancaster, Tony
Jun, Sung Jae
Year of Publication: 
2005
Series/Report no.: 
Working Paper, Brown University, Department of Economics 2006-05
Abstract: 
Recent work by Schennach(2005) has opened the way to a Bayesian treatment of quantile regression. Her method, called Bayesian exponentially tilted empirical likelihood (BETEL), provides a likelihood for data y subject only to a set of m moment conditions of the form Eg(y, θ) = 0 where θ is a k dimensional parameter of interest and k may be smaller, equal to or larger than m. The method may be thought of as construction of a likelihood supported on the n data points that is minimally informative, in the sense of maximum entropy, subject to the moment conditions. Specifically the probabilities {pi} attached to the n data points are chosen to solve
Document Type: 
Working Paper

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