A Note on Implementing Box-Cox Quantile Regression

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URL:	http://ub-madoc.bib.uni-mannheim.de/912
URN:	urn:nbn:de:bsz:180-madoc-9129
Document Type:	Working paper
Year of publication:	2004
The title of a journal, publication series:	None
Publication language:	English
Institution:	Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series:	Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject:	330 Economics
Classification:	JEL: C13 C14 ,
Subject headings (SWD):	Box-Cox-Transformation , Quantilfunktion
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 n–consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well.
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BASE: Fitzenberger, Bernd ; Wilke, Ralf A. ; Zhang, Xuan

Google Scholar: Fitzenberger, Bernd ; Wilke, Ralf A. ; Zhang, Xuan

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