Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24695
Authors: 
Wilke, Ralf A.
Fitzenberger, Bernd
Zhang, Xuan
Year of Publication: 
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
Document Type: 
Working Paper

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