Solution to the Non-Monotonicity and Crossing Problems in Quantile Regression

Understand

This paper proposes a new method to address the long-standing problem of lack of monotonicity in estimation of the conditional and structural quantile function, also known as quantile crossing problem.

• Quantile regression is a very powerful tool in data science in general and econometrics in particular.
• Unfortunately, the crossing problem has been confounding researchers and practitioners alike for over 4 decades.
• Numerous attempts have been made to find a simple and general solution.