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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: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
older Version:
Document Type:Working Paper
Appears in Collections:ZEW Discussion Papers, Zentrum für Europäische Wirtschaftsforschung (ZEW)
Publikationen von Forscherinnen und Forschern des Zentrums für Europäische Wirtschaftsforschung (ZEW)

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