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The Performance of Quantile Regression and Linear Regression with Heteroskedasticity was Compared in a Simulated Study |
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PP: 635-655 |
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doi:10.18576/jsap/120226
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Author(s) |
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Marwa R. Saad,
Ahmed H. Youssef,
Shereen H. Abdel Latif,
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Abstract |
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| The least-square estimator has several drawbacks when dealing with heteroscedasticity; this estimate will not be a Best Linear Unbiased Estimator (BLUE). Quantile Regression is a dependable option; however, it has some substantial computational problems. We compare five resampling approaches to estimate the standard error of the coefficients, in the situation of heterogeneity, for inference. According to simulation study, quantile regression beats linear regression and is also better when predicting errors in the presence of heterogeneity.
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