Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24069
Authors: 
Wilke, Ralf A.
Fitzenberger, Bernd
Zhang, Xuan
Year of Publication: 
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: 
Document Type: 
Working Paper

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