Inference for General Parametric Functions in Box-Cox-Type Transformation Models

• Main Authors: YANG, Zhenlin, WU, Eden Ka-Ho, DESMOND, Anthony F.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Box-Cox transformation; confidence interval; marginal effect; percentile function; robustnesssurvivor function; test; variance inflation factor; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/297; https://ink.library.smu.edu.sg/context/soe_research/article/1296/viewcontent/YangEtAl_CJS_2008at.pdf
• Institution: Singapore Management University

The authors propose a simple but general method of inference for a parametric function of the Box-Cox-type transformation model. Their approach is built upon the classical normal theory but takes parameter estimation into account. It quickly leads to test statistics and confidence intervals for a linear combination of scaled or unscaled regression coefficients, as well as for the survivor function and marginal effects on the median or other quantile functions of an original response. The authors show through simulations that the finite-sample performance of their method is often superior to the delta method, and that their approach is robust to mild departures from normality of error distributions. They illustrate their approach with a numerical example.