Resource title

A Note on Implementing Box-Cox Quantile Regression

Resource image

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Resource description

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.

Resource author

Ralf A. Wilke, Bernd Fitzenberger, Xuan Zhang

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24069

Resource license

Adapt according to the presented license agreement and reference the original author.