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Modelling firm-size distribution using Box-Cox heteroscedastic regression

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Author Info
Y. K. Tse (School of Economics and Social Sciences, Singapore Management University, 90 Stamford Road, Singapore 178903)
Z. L. Yang (School of Economics and Social Sciences, Singapore Management University, 90 Stamford Road, Singapore 178903)

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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, estimation of the BCHR model is straightforward and the confidence intervals of the BCHR regression quantiles are easy to compute. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.870
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File URL: http://qed.econ.queensu.ca:80/jae/2006-v21.5/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 5 ()
Pages: 641-653
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Handle: RePEc:jae:japmet:v:21:y:2006:i:5:p:641-653

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  1. 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. [Downloadable!]
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This page was last updated on 2009-11-21.

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