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Title:A Note on Implementing Box-Cox Quantile Regression PDF Logo
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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