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 FitzenbergerORCiDGND, Ralf A. Wilke, Xuan Zhang |
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URN: | urn:nbn:de:hebis:30-5901 |
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 |
Language: | English |
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 |
HeBIS-PPN: | 128736704 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | Deutsches Urheberrecht |