A note on implementing Box-Cox quantile regression
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.
| Author: | Bernd Fitzenberger, Ralf A. Wilke, Xuan Zhang |
|---|---|
| URN: | urn:nbn:de:hebis:30-5901 |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 11.04.2005 |
| Year of first Publication: | 2004 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | Box-Cox quantile regression ; iterative estimator |
| SWD-Keyword: | Regression / Schätztheorie / Theorie |
| Source: | ZEW Discussion Paper ; 04-61 |
| HeBIS PPN: | 128736704 |
| Institutes: | Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
