Resource title

A Note on Implementing Box-Cox Quantile Regression

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Resource description

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.

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/10419/24695

Resource license

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