A Note on Implementing Box-Cox Quantile Regression

Fitzenberger, Bernd ; Wilke, Ralf A. ; Zhang, Xuan

dp0461.pdf - Published

Download (355kB)

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.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

Metadata export


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics

You have found an error? Please let us know about your desired correction here: E-Mail

Actions (login required)

Show item Show item