Publication Type
Working Paper
Version
publishedVersion
Publication Date
3-2004
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 (2000) 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, confidence intervals of the regression quantiles are easy to compute, and the estimation of the Box-Cox heteroscedastic regression is straight forward.
Keywords
Box-Cox transformation, Firm-size distribution, Quantile regression
Discipline
Econometrics
Research Areas
Econometrics
Volume
10-2004
First Page
1
Last Page
25
Publisher
SMU Economics and Statistics Working Paper Series, No. 10-2004
City or Country
Singapore
Citation
YANG, Zhenlin and TSE, Yiu Kuen.
Modeling the Firm-Size Distribution Using Box-Cox Heteroscedastic Regression. (2004). 10-2004, 1-25.
Available at: https://ink.library.smu.edu.sg/soe_research/784
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in Journal of Applied Econometrics, 2008, https://doi.org/10.1002/jae.870