A Note on Implementing Box-Cox Quantile Regression

19 Pages Posted: 15 Oct 2004 Last revised: 15 Aug 2008

See all articles by Bernd Fitzenberger

Bernd Fitzenberger

Humboldt University of Berlin - School of Business and Economics

Ralf A. Wilke

Copenhagen Business School - Department of Economics; Center for European Economic Research (ZEW); Government of the Federal Republic of Germany - Institute for Employment Research (IAB)

Xuan Zhang

ZEW – Leibniz Centre for European Economic Research

Date Written: December 2005

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 root n-consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well.

Keywords: Box-Cox quantile regression, iterative estimator

JEL Classification: C13, C14

Suggested Citation

Fitzenberger, Bernd and Wilke, Ralf A. and Zhang, Xuan, A Note on Implementing Box-Cox Quantile Regression (December 2005). ZEW - Centre for European Economic Research Discussion Paper No. 04-061, Available at SSRN: https://ssrn.com/abstract=604441 or http://dx.doi.org/10.2139/ssrn.604441

Bernd Fitzenberger (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany

Ralf A. Wilke

Copenhagen Business School - Department of Economics ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Center for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1 D-68161 Mannheim
Germany

Government of the Federal Republic of Germany - Institute for Employment Research (IAB) ( email )

Regensburger Str. 104
Nuremberg, 90478
Germany

Xuan Zhang

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1 D-68161 Mannheim
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
164
Abstract Views
1,528
rank
254,525
PlumX Metrics