A Note on Implementing Box-Cox Quantile Regression

Ralf Wilke, Bernd Fitzenberger and Xuan Zhang

No 04-61 [rev.], ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: The Box-Cox quantile regression model using the two stage method suggested by Chamberlain (1994) and Buchinsky (1995) provides a flexible and numerically attractive extension of linear quantile regression techniques. However, the objective function in stage two of the method may not exists. We suggest a simple modification of the estimator which is easy to implement. The modified estimator is still pn{consistent and we derive its asymptotic distribution. A simulation study confirms that the modified estimator works well in situations, where the original estimator is not well defined.

Keywords: Box-Cox quantile regression; iterative estimator (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2005
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Working Paper: A Note on Implementing Box-Cox Quantile Regression (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:7181

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