A focused information criterion for quantile regression: Evidence for the rebound effect
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Date
2016
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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.
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Keywords
information criteria, price elasticities, fuel efficiency