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| Kazumitsu Nawata |
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| ''A new estimator of the Box-Cox transformation model using moment conditions'' |
| ( 2013, Vol. 33 No.3 ) |
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| The maximum likelihood estimator (MLE) under the normality assumption of error terms is widely used to estimate the Box-Cox transformation model. However, since the error terms cannot be normally distributed, it is not a proper estimator. In other words, the estimator is inconsistent. In this paper, I propose a new estimator of the Box-Cox transformation model that modifies the MLE in key ways. I demonstrate that the estimator is consistent, and that an asymptotic distribution is obtained. The results of Monte Carlo experiments are also presented. |
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| Keywords: Box-Cox transformation, consistent estimator, moment condition |
JEL: C2 - Single Equation Models; Single Variables: General
C4 - Econometric and Statistical Methods: Special Topics |
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| Manuscript Received : Nov 13 2012 | | Manuscript Accepted : Sep 10 2013 |
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