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A Note on Implementing Box-Cox Quantile Regression

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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.

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Ralf A. Wilke, Bernd Fitzenberger, Xuan Zhang

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