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.

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Author:Bernd FitzenbergerORCiDGND, Ralf A. Wilke, Xuan Zhang
Parent Title (German):Zentrum für Europäische Wirtschaftsforschung: Discussion paper ; No. [20]04,61 : Labour economics, human resources and social policy
Publisher:Zentrum für Europ. Wirtschaftsforschung
Place of publication:Mannheim
Document Type:Working Paper
Date of Publication (online):2005/04/11
Year of first Publication:2004
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/04/11
Tag:Box-Cox quantile regression; iterative estimator
GND Keyword:Regression / Schätztheorie / Theorie
Source:ZEW Discussion Paper ; 04-61
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht