M‐quantile regression shrinkage and selection via the Lasso and Elastic Net to assess the effect of meteorology and traffic on air quality

In this work, we intersect data on size‐selected particulate matter (PM) with vehicular traffic counts and a comprehensive set of meteorological covariates to study the effect of traffic on air quality. To this end, we develop an M‐quantile regression model with Lasso and Elastic Net penalizations. This allows (i) to identify the best proxy for vehicular traffic via model selection, (ii) to investigate the relationship between fine PM concentration and the covariates at different M‐quantiles of the conditional response distribution, and (iii) to be robust to the presence of outliers. Heterogeneity in the data is accounted by fitting a B‐spline on the effect of the day of the year. Analytic and bootstrap‐based variance estimates of the regression coefficients are provided, together with a numerical evaluation of the proposed estimation procedure. Empirical results show that atmospheric stability is responsible for the most significant effect on fine PM concentration: this effect changes at different levels of the conditional response distribution and is relatively weaker on the tails. On the other hand, model selection allows to identify the best proxy for vehicular traffic whose effect remains essentially the same at different levels of the conditional response distribution.