WQR Concepts Overview

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Definition of WQR

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Weighted Quantile Regression

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Purpose of WQR

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To estimate quantiles of a response variable

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Key feature of WQR

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Uses weights for observations

Front

Application of WQR

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Handling heteroscedasticity in data

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Quantile in WQR

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A point in the data distribution

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Weight in WQR

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Importance assigned to each observation

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τ in WQR

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Quantile level (e.g., 0.25, 0.5, 0.75)

Front

WQR vs. OLS

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WQR estimates quantiles, OLS estimates mean

Front

WQR equation

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minβ∑i=1nwiρτ(yi−xi'β)

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ρτ function

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ρτ(u)=u(τ−I(u<0))