文章基本信息

标题：A new estimator of the Box-Cox transformation model using moment conditions
本地全文：下载
作者：Kazumitsu Nawata
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2013
卷号：33
期号：3
页码：2287-2297
出版社：Economics Bulletin
摘要：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.
关键词：Box-Cox transformation; consistent estimator; moment condition