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| Title: | | A Note on Implementing Box-Cox Quantile Regression  |
| Authors: | | Wilke, Ralf A. Fitzenberger, Bernd Zhang, Xuan |
| Issue Date: | | 2004 |
| Series/Report no.: | | ZEW Discussion Papers 04-61 |
| 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. |
| Subjects: | | Box-Cox quantile regression iterative estimator |
| JEL: | | C13 C14 |
| more recent Version: | | http://hdl.handle.net/10419/24695 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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