A Note on Implementing Box-Cox Quantile Regression
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Wilke, Ralf A. & Fitzenberger, Bernd & Zhang, Xuan, 2004. "A Note on Implementing Box-Cox Quantile Regression," ZEW Discussion Papers 04-61, ZEW - Leibniz Centre for European Economic Research.
References listed on IDEAS
- repec:cup:cbooks:9780521444606 is not listed on IDEAS
- 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.
- repec:cup:cbooks:9780521444590 is not listed on IDEAS
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- 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.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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].
- 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.
- Fitzenberger, Bernd & Wilke, Ralf, 2007. "New Insights on Unemployment Duration and Post Unemployment Earnings in Germany: Censored Box-Cox Quantile Regression at Work," IZA Discussion Papers 2609, Institute of Labor Economics (IZA).
- 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.
- Bernd Fitzenberger & Ralf A. Wilke, 2006. "Using Quantile Regression for Duration Analysis," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 8, pages 103-118, Springer.
- Fitzenberger, Bernd & Wilke, Ralf A., 2005. "Using Quantile Regression for Duration Analysis," ZEW Discussion Papers 05-65, ZEW - Leibniz Centre for European Economic Research.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bernd Fitzenberger & Ralf A. Wilke & Xuan Zhang, 2010. "Implementing Box-Cox Quantile Regression," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 158-181, April.
- Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
- M. -Y. Chen & F. -L. Lin & C. -K. Chang, 2009. "Relations between health care expenditure and income: an application of local quantile regressions," Applied Economics Letters, Taylor & Francis Journals, vol. 16(2), pages 177-181.
- Ma, Lingjie & Koenker, Roger, 2006.
"Quantile regression methods for recursive structural equation models,"
Journal of Econometrics, Elsevier, vol. 134(2), pages 471-506, October.
- Lingjie Ma & Roger Koenker, 2004. "Quantile regression methods for recursive structural equation models," CeMMAP working papers CWP01/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Parente, Paulo M.D.C. & Smith, Richard J., 2011.
"Gel Methods For Nonsmooth Moment Indicators,"
Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
- Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Komunjer, Ivana, 2005.
"Quasi-maximum likelihood estimation for conditional quantiles,"
Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
- Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
- Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
- Marcelo Cajias & Philipp Freudenreich & Anna Heller & Wolfgang Schaefers, 2018. "Censored Quantile Regressions and the Determinants of Real Estate Liquidity," ERES eres2018_203, European Real Estate Society (ERES).
- Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
- Distante, Roberta & Petrella, Ivan & Santoro, Emiliano, 2018.
"Gibrat’s law and quantile regressions: An application to firm growth,"
Economics Letters, Elsevier, vol. 164(C), pages 5-9.
- Distante, Roberta & Petrella, Ivan & Santoro, Emiliano, 2017. "Gibrat's Law and Quantile Regressions: an Application to Firm Growth," EMF Research Papers 16, Economic Modelling and Forecasting Group.
- Elke Lüdemann & Ralf Wilke & Xuan Zhang, 2006.
"Censored quantile regressions and the length of unemployment periods in West Germany,"
Empirical Economics, Springer, vol. 31(4), pages 1003-1024, November.
- Lüdemann, Elke & Wilke, Ralf A. & Zhang, Xuan, 2004. "Censored Quantile Regressions and the Length of Unemployment Periods in West Germany," ZEW Discussion Papers 04-57, ZEW - Leibniz Centre for European Economic Research.
- Xuan, Zhang & Wilke, Ralf A. & Lüdemann, Elke, 2005. "Censored Quantile Regressions and the Length of Unemployment Periods in West Germany," ZEW Discussion Papers 04-57 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
- Wolters, Maik H., 2012.
"Estimating monetary policy reaction functions using quantile regressions,"
Journal of Macroeconomics, Elsevier, vol. 34(2), pages 342-361.
- Wolters, Maik Hendrik, 2010. "Estimating Monetary Policy Reaction Functions Using Quantile Regressions," MPRA Paper 23857, University Library of Munich, Germany.
- Yu, Dengdeng & Zhang, Li & Mizera, Ivan & Jiang, Bei & Kong, Linglong, 2019. "Sparse wavelet estimation in quantile regression with multiple functional predictors," Computational Statistics & Data Analysis, Elsevier, vol. 136(C), pages 12-29.
- 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.
- Bernd Fitzenberger & Ralf A. Wilke, 2006. "Using Quantile Regression for Duration Analysis," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 8, pages 103-118, Springer.
- Fitzenberger, Bernd & Wilke, Ralf A., 2005. "Using Quantile Regression for Duration Analysis," ZEW Discussion Papers 05-65, ZEW - Leibniz Centre for European Economic Research.
- Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012.
"Asymptotically efficient estimation of the conditional expected shortfall,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 768-784.
- Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
- Fernando Eguren-Martin & Andrej Sokol, 2022.
"Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 487-519, September.
- Eguren-Martin, Fernando & Sokol, Andrej, 2019. "Attention to the tail(s): global financial conditions and exchange rate risks," Bank of England working papers 822, Bank of England.
- Sokol, Andrej & Eguren-Martin, Fernando, 2020. "Attention to the tail(s): global financial conditions and exchange rate risks," Working Paper Series 2387, European Central Bank.
- Marcelo Cajias & Philipp Freudenreich & Anna Freudenreich, 2020. "Exploring the determinants of real estate liquidity from an alternative perspective: censored quantile regression in real estate research," Journal of Business Economics, Springer, vol. 90(7), pages 1057-1086, August.
- Thomas Q. Pedersen, 2015.
"Predictable Return Distributions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
- Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
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
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:7181. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zemande.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.