Title

Modeling the Firm-Size Distribution Using Box-Cox Heteroscedastic Regression

Publication Type

Journal Article

Publication Date

2006

Abstract

Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata () using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, estimation of the BCHR model is straightforward and the confidence intervals of the BCHR regression quantiles are easy to compute.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Applied Econometrics

Volume

21

Issue

5

First Page

641

Last Page

653

ISSN

0883-7252

Identifier

10.1002/jae.870

Publisher

Wiley

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.

Additional URL

http://dx.doi.org/10.1002/jae.870

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