Publications

A focused information criterion for quantile regression: Evidence for the rebound effect

Behl, P. and Dette, H. and Frondel, M. and Vance, C.

QUARTERLY REVIEW OF ECONOMICS AND FINANCE
Volume: Pages:
DOI: 10.1016/j.qref.2018.08.001
Published: 2018

Abstract
In contrast to conventional model selection criteria, the Focused Information Criterion (FIC) allows for the purpose-specific choice of model specifications. This accommodates the idea that one kind of model might be highly appropriate for inferences on a particular focus parameter, but not for another. Using the FIC concept that is developed by Behl, Claeskens, and Dette (2014) for quantile regression analysis, and the estimation of the rebound effect in individual mobility behavior as an example, this paper provides for an empirical application of the FIC in the selection of quantile regression models. © 2018 Board of Trustees of the University of Illinois

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