TY  - UNPD
A1  - Fitzenberger, Bernd
A1  - Wilke, Ralf A.
A1  - Zhang, Xuan
T1  - A note on implementing Box-Cox quantile regression
T2  - Zentrum für Europäische Wirtschaftsforschung: Discussion paper ; No. [20]04,61 : Labour economics, human resources and social policy
N2  - 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 [square root] n-consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well.
KW  - Regression / Schätztheorie / Theorie
KW  - Box-Cox quantile regression
KW  - iterative estimator
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4854
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-5901
PB  - Zentrum für Europ. Wirtschaftsforschung
CY  - Mannheim
ER  -