An Explicit Variance Formula for the Box-Cox Functional Form Estimator

• Main Authors: YANG, Zhenlin, Abeysinghe, T
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/166
• Institution: Singapore Management University

Although the Box–Cox transformation provides a flexible functional form for regression models, its applicability is often hampered by the difficulty of choosing an appropriate value for the Box–Cox parameter. This paper presents an explicit variance formula for the Box–Cox estimator of the functiona...