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From |
<skolenik@email.unc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Looking for Box-Cox transformation for a quantile of dependent variable |

Date |
Tue, 17 Aug 2004 13:52:22 -0400 |

> I am looking for a STATA command that would perform the Box-Cox > transformation for a quantile of dependent variable y conditional on > covariates x. An example of such an application is Moshe Buchinsky, > Journal of Econometrics, 1995, "Quantile regression, Box-Cox > transformation model, and the U.S. wage structure, 1963-1987". That's a little bit weird way of looking at the Box-Cox transformation. Its prime aim in the regression analysis has been to make the dependent variable / regression residuals approximately unskewed, which is irrelevant for quantile regression. Buchinsky (1995) claims that his estimation procedure helps finding a linear index, but the estimation procedure itself is not aimed at that, and it is a by-product of the Box-Cox procedure, at best. He should have derived some measure of remaining non-linearity, like the score test statistic for the basic regression for the null that all interactions are zero, and minimize that, rather than the sum of the check functions, as in the regular quantile regression. I don't think he cares to check for the remaining nonlinearity anywhere in the paper, even though that is supposed to be the only selling point of Box-Cox transformation in his context. As long as findit quantile regression does not produce anything that links to the Box-Coxed quantile regression, you would have to work on that for yourself following his steps, and then see how you can get the correct covariance matrix. --- Stas Kolenikov -- Ph.D. student in Statistics at UNC-Chapel Hill - http://www.komkon.org/~tacik/ -- Stas.Kolenikov@unc.edu * This e-mail and all attachments to it are not intended to provide any * reasonable point of view and was transmitted to you in error. It * should be immediately deleted by all recipients unless they really * enjoy communicating with the author :). Other restrictions apply. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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