Zhenlin Yang () (School of Economics and Social Sciences, Singapore Management University) Yiu Kuen Tse () (School of Economics and Social Sciences, Singapore Management University)
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Using the Box-Cox regression model with heteroscedasticity, we examine the size distribution of firms. Analyzing the data set of Portuguese manufacturing firms as in Machado and Mata (2000), we show that our approach compares favorably against the Box-Cox quantile regression method. In particular, we are able to answer the key questions addressed by Machado and Mata, with the additional advantage that our empirical quantile functions are monotonic. Furthermore, confidence intervals of the regression quantiles are easy to compute, and the estimation of the Box-Cox heteroscedastic regression model is straightforward.
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Paper provided by Singapore Management University, School of Economics in its series Working Papers with number
10-2004.
Length: 26 pages Date of creation: Mar 2004 Date of revision: Publication status: Published in SMU Economics and Statistics Working Paper Series Handle: RePEc:siu:wpaper:10-2004
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C5 - Mathematical and Quantitative Methods - - Econometric Modeling L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
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