Arbeitspapier
A Note on Implementing Box-Cox Quantile Regression
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.
- Language
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Englisch
- Bibliographic citation
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Series: ZEW Discussion Papers ; No. 04-61 [rev.]
- Classification
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Estimation: General
- Subject
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Box-Cox quantile regression
iterative estimator
Regression
Schätztheorie
Theorie
- Event
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Geistige Schöpfung
- (who)
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Wilke, Ralf A.
Fitzenberger, Bernd
Zhang, Xuan
- Event
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Veröffentlichung
- (who)
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Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (where)
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Mannheim
- (when)
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2005
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wilke, Ralf A.
- Fitzenberger, Bernd
- Zhang, Xuan
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Time of origin
- 2005
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