EconStor >
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim >
ZEW Discussion Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/24695
  
Title:A Note on Implementing Box-Cox Quantile Regression PDF Logo
Authors:Wilke, Ralf A.
Fitzenberger, Bernd
Zhang, Xuan
Issue Date:2005
Series/Report no.:ZEW Discussion Papers 04-61 [rev.]
Abstract:The Box-Cox quantile regression model using the two stage method suggested by Chamberlain (1994) and Buchinsky (1995) provides a flexible and numerically attractive extension of linear quantile regression techniques. However, the objective function in stage two of the method may not exists. We suggest a simple modification of the estimator which is easy to implement. The modified estimator is still pn{consistent and we derive its asymptotic distribution. A simulation study confirms that the modified estimator works well in situations, where the original estimator is not well defined.
Subjects:Box-Cox quantile regression
iterative estimator
JEL:C14
C13
older Version:http://hdl.handle.net/10419/24069
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

Files in This Item:
File Description SizeFormat
dp0461.pdf411.21 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/24695

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.