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

• Main Authors: YANG, Zhenlin, TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Box-Cox transformation; Firm-size distribution; Quantile regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/784; https://ink.library.smu.edu.sg/context/soe_research/article/1783/viewcontent/fs_paper.pdf
• Institution: Singapore Management University

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...