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
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.
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Metadaten
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):2005/04/11
Year of first Publication:2004
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/04/11
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):License Logo Veröffentlichungsvertrag für Publikationen

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