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I applied quantile regression on some data and did it for tau = 0.25, 0.5, 0.75. After i got the estimates of each model, i did some cross validation on my hold out data. When i used the estimates for my hold out data i calculated in what quantile each of my independent variables lie, 25%, 50% or 75%. For instance if my x-values (independent variable) looks as follows,

x -> 1 2 3 4 5 6 7 8 9 11 10 12 13 14 15

I calculated my quantiles using the R function cut as cut(x,4) and got the following quantile ranges (0.986; 4.49], (4.49; 8], (8; 11.15], (11.15; 15]. I then divide the x vector into the correct quantile range and depending on what range it falls determine what quantile regression estimates i use, either 0.25, 0.5 or 0.75. So for the x-values 1 to 4 i will use the estimates of the 0.25, 5 to 8 i use the estimates of 0.5 and the rest i used 0.75.

I do get very accurate results, i.t.o. forecast accuracy, but can someone please tell if this is the correct way to do my quantile cross validation.

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  • $\begingroup$ I am a little unclear about a couple things: 1) Usually people use Y for the dependent variable. It is the dependent variable that should be cut. 2) If I understand your question, it is whether to use the quantiles of the main data set or the hold out data set when testing the quantile regression, right? That's a good question, but I just wanted to be sure it was your question. $\endgroup$ – Peter Flom Jun 22 '14 at 11:27
  • $\begingroup$ As long as you bin the response variable without considering the values of the covariables, I doubt that this validation is useful. $\endgroup$ – Michael M Jun 22 '14 at 12:36
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You have to understand that in quantile regression, the quantile of interests is not for the predictor variables but the response variable so it is pointless to do a cross-validation using the quantile of your predictors. Here is your model for $\tau^{th}$ quantile: $$Q_\tau (Y|X=x) = X\beta(\tau)$$ In classical regression, you evaluate the model using a loss function. It's the same for the quantile regression, you need a loss function to evaluate how good your model is. In the case of quantile regression, your loss function is: $$\rho_\tau(u)=u(\tau - I(u<0)).$$

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I like the previous answer. However, let me outline another perspective.

Without having elaborated on details, I assume that the you will get the results by means of MCMC, e.g. using jags.

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