A note on implementing Box-Cox quantile regression

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 vn-consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well." (Author's abstract, IAB-Doku) ((en))

Cite article

Fitzenberger, B., Wilke, R. & Zhang, X. (2004): A note on implementing Box-Cox quantile regression. (ZEW discussion paper 2004-61), Mannheim, 17 p.