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

• المؤلف الرئيسي: YANG, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1999
• الموضوعات: Asymptotic expansion; Box-Cox transformation; sensitivity; T-ratio; lambda-fixed; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: 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...