Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Regressão Quantílica× | Robust Generalized Least Squares (Robust GLS)× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1978 | 1936 / 1980 |
| Autor original≠ | Koenker & Bassett | Aitken (GLS theory, 1936); White (robust covariance, 1980) |
| Tipo≠ | Conditional quantile regression | Robust linear regression |
| Fonte seminal≠ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ | Greene, W. H. (2012). Econometric Analysis (7th ed.). Pearson. Chapter 9: The Generalized Regression Model and Heteroscedasticity. ISBN: 978-0131395381 |
| Outros nomes≠ | conditional quantile regression, regression quantiles, Kantil Regresyon | robust generalized least squares, GLS with robust standard errors, heteroscedasticity-consistent GLS, HC-GLS |
| Relacionados | 5 | 5 |
| Resumo≠ | Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails. | Robust GLS extends classical Generalized Least Squares by pairing GLS coefficient estimation with heteroscedasticity- and autocorrelation-consistent (HAC) standard errors, or by using M-estimation within the GLS framework. It corrects for non-spherical errors — heteroscedasticity, autocorrelation, or both — while also guarding inference against misspecification of the error covariance structure. |
| ScholarGateConjunto de dados ↗ |
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