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https://hdl.handle.net/10419/24069
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wilke, Ralf A. | en |
dc.contributor.author | Fitzenberger, Bernd | en |
dc.contributor.author | Zhang, Xuan | en |
dc.date.accessioned | 2009-02-16T14:48:28Z | - |
dc.date.available | 2009-02-16T14:48:28Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/24069 | - |
dc.description.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 [square root] n-consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well. | en |
dc.language.iso | eng | en |
dc.publisher | |aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheim | en |
dc.relation.ispartofseries | |aZEW Discussion Papers |x04-61 | en |
dc.relation.hasversion | http://hdl.handle.net/10419/24695 | en |
dc.subject.jel | C13 | en |
dc.subject.jel | C14 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Box-Cox quantile regression | en |
dc.subject.keyword | iterative estimator | en |
dc.subject.stw | Regression | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.title | A Note on Implementing Box-Cox Quantile Regression | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 39635260X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:zewdip:2350 | en |
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