@techreport{Wilke2004Note,
abstract = {The Box-Cox quantile regression model using the two stage method introduced by Chamberlain
(1994) and Buchinsky (1995) provides an attractive extension of linear quantile regression
techniques. However, a major numerical problem exists when implementing this
method which has not been addressed so far in the literature. We suggest a simple solution
modifying the estimator slightly. This modification is easy to implement. The modified
estimator is still [square root] n-consistent and its asymptotic distribution can easily be derived. A
simulation study confirms that the modified estimator works well.},
address = {Mannheim},
author = {Ralf A. Wilke and Bernd Fitzenberger and Xuan Zhang},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C13; C14; 330; Box-Cox quantile regression; iterative estimator; Regression; Sch\"{a}tztheorie; Theorie},
language = {eng},
note = {More recent version: http://hdl.handle.net/10419/24695},
number = {04-61},
publisher = {Zentrum f\"{u}r Europ\"{a}ische Wirtschaftsforschung (ZEW)},
title = {A Note on Implementing Box-Cox Quantile Regression},
type = {ZEW Discussion Papers},
url = {http://hdl.handle.net/10419/24069},
year = {2004}
}
