Title

A Corrected Plug-in Method for Quantile Interval Construction through a Transformed Regression

Publication Type

Journal Article

Publication Date

2007

Abstract

We propose a corrected plug-in method for constructing confidence intervals of the conditional quantiles of an original response variable through a transformed regression with heteroscedastic errors. The interval is easy to compute. Factors affecting the magnitude of the correction are examined analytically through the special case of Box-Cox regression. Monte Carlo simulations show that the new method works well in general and is superior over the commonly used delta method and the quantile regression method. An empirical application is presented. [PUBLICATION ABSTRACT]

Keywords

Analytical correction; Finite-sample performance; Heteroscedasticity; Living standards in South Africa; Transformation

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

Volume

25

Issue

3

First Page

356

Last Page

376

ISSN

0735-0015

Publisher

American Statistical Association

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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