Combining Forecast Quantiles Using Quantile Regression: Investigating the Derived Weights, Estimator Bias and Imposing Constraints

Taylor, James and Bunn, Derek (1998) Combining Forecast Quantiles Using Quantile Regression: Investigating the Derived Weights, Estimator Bias and Imposing Constraints. Journal of Applied Statistics, 25 (2). pp. 193-206.

Abstract

A novel proposal for combining forecast distributions is to use quantile regression to combine quantile estimates. We consider the usefulness of the resultant linear combining weights. If the quantile estimates are unbiased, then there is strong intuitive appeal for omitting the constant and constraining the weights to sum to unity in the quantile regression. However, we show that suppressing the constant renders one of the main attractive features of quantile regression invalid. We establish necessary and sufficient conditions for unbiasedness of a quantile estimate, and show that a combination with zero constant and weights that sum to unity is not necessarily unbiased.

Item Type: Article
Keywords: Sampling; Regression Analysis
Subject(s): Management science
Date Deposited: 22 Jan 2012 17:20
Last Modified: 10 Feb 2017 17:16
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1737

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