Estimating a transformation and its effect on Box-Cox T-ratio

• 主要作者: YANG, Zhenlin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1999
• 主題: Asymptotic expansion; Box-Cox transformation; sensitivity; T-ratio; lambda-fixed; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/2152; https://ink.library.smu.edu.sg/context/soe_research/article/3152/viewcontent/Yang_Test_Box_Cox.pdf
• 機構: Singapore Management University

This article concerns i) the stochastic behavior of the Box-Cox transformation estimator and ii) the effect of estimating a transformation on the Box-CoxT-ratio used for the post-transformation analysis. It is shown that the transformation estimator depends on three factors: the model structure, the...