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A Note on Implementing Box-Cox Quantile Regression

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  • Wilke, Ralf A.
  • Fitzenberger, Bernd
  • Zhang, Xuan

Abstract

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.

Suggested Citation

  • Wilke, Ralf A. & Fitzenberger, Bernd & Zhang, Xuan, 2005. "A Note on Implementing Box-Cox Quantile Regression," ZEW Discussion Papers 04-61 [rev.], ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:7181
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    References listed on IDEAS

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    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, September.
    2. Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
    3. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, September.
    4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    5. Jose A. F. Machado & Jose Mata, 2000. "Box-Cox quantile regression and the distribution of firm sizes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(3), pages 253-274.
    6. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
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    Cited by:

    1. Ludsteck, Johannes & Jacobebbinghaus, Peter, 2005. "Strike activity and centralisation in wage setting," IAB-Discussion Paper 200522, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    2. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 105-120, March.
    3. Fitzenberger, Bernd & Wilke, Ralf A., 2007. "New insights on unemployment duration and post unemployment earnings in Germany: censored Box-Cox quantile regression at work," ZEW Discussion Papers 07-007, ZEW - Leibniz Centre for European Economic Research.
    4. Boockmann, Bernhard & Steffes, Susanne, 2007. "Seniority and Job Stability: A Quantile Regression Approach Using Matched Employer-Employee Data," ZEW Discussion Papers 07-014, ZEW - Leibniz Centre for European Economic Research.

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    More about this item

    Keywords

    Box-Cox quantile regression; iterative estimator;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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