An Explicit Variance Formula for the Box-Cox Functional Form Estimator
Publication Type
Journal Article
Publication Date
2002
Abstract
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 functional form, from which the analytical behavior of the estimator and its precision can be assessed.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
76
Issue
2
First Page
259
Last Page
265
ISSN
0165-1765
Identifier
10.1016/s0165-1765(02)00051-4
Publisher
Elsevier
Citation
YANG, Zhenlin and Abeysinghe, T.
An Explicit Variance Formula for the Box-Cox Functional Form Estimator. (2002). Economics Letters. 76, (2), 259-265.
Available at: https://ink.library.smu.edu.sg/soe_research/166
Additional URL
https://doi.org/10.1016/s0165-1765(02)00051-4