A Note on Implementing Box-Cox Quantile Regression

Ralf Wilke, Bernd Fitzenberger and Xuan Zhang

No 04-61, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: 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.

Keywords: Box-Cox quantile regression; iterative estimator (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Working Paper: A Note on Implementing Box-Cox Quantile Regression (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:2350

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