Publication Type
Working Paper
Version
publishedVersion
Publication Date
7-2002
Abstract
A modified family of power transformation, called the Dual Power Transformation, is proposed, which overcomes the truncation problem of the Box-Cox power transformation. The new transformation possesses properties similar to those of the Box-Cox power transformation. It generates a rich family of distributions that is seen to be very useful in modeling and analysis of economic durations and medical/engineering event-times. Further, it gives rise to transformed (regression) models such that all the standard asymptotic results of the maximum likelihood theory apply. Empirical results presented are more favorable to the new transformation than to the Box-Cox power transformation in terms of model fit.
Keywords
Box-Cox power transformation, Dual power transformation, Transformed regression model, Trans-normal distribution
Discipline
Econometrics | Economics
Research Areas
Econometrics
Volume
12-2002
First Page
1
Last Page
16
Publisher
SMU Economics and Statistics Working Paper Series, No. 12-2002
City or Country
Singapore
Citation
YANG, Zhenlin.
A Modified Family of Power Transformations. (2002). 12-2002, 1-16.
Available at: https://ink.library.smu.edu.sg/soe_research/698
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.