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

Fitzenberger, Bernd, Ralf Wilke and Xuan Zhang (2004), A Note on Implementing Box-Cox Quantile Regression, ZEW Discussion Paper No. 04-61, Mannheim. Download


Fitzenberger, Bernd
Wilke, Ralf
, Xuan Zhang


Box-Cox quantile regression, iterative estimator