Rescaled methods-of-moments estimation for the Box-Cox regression model

Economics Letters

Volumn 51, Issue 3, 1996, Pages 259-265

  Powell, James L ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Box Cox regression; Generalized method of moments; Non linear two stage least squares; Rescaling

Indexed keywords

EID: 0030306131     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(96)00811-7     Document Type: Article

References (9)

1. Amemiya, T., 1974, The nonlinear two-stage least-squares estimator, Journal of Econometrics 2, 105-110.
2. Amemiya, T. and J.L. Powell, 1981, A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least-squares estimator, Journal of Econometrics 17, 351-381.
3. Bickel, P.J. and K.A. Doksum, 1981, An analysis of transformations revisited, Journal of the American Statistical Association 76, 296-311.
4. Box, G.E.P. and D.R. Cox, 1964, An analysis of transformations, Journal of the Royal Statistical Society, Series B, 26, 211-252.
5. Hansen, L.P., 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029-1054.
6. Hinkley, D.V., 1975, On power transformations to symmetry, Biometrika 62, 101-112.
7. Hinkley, D.V. and G. Runger, 1984, The analysis of transformed data, Journal of the American Statistical Association 79, 302-309.
8. Khazzoom, D.J., 1989, A note on the application of the non-linear two-stage least-squares estimator to a Box-Cox-transformed model, Journal of Econometrics 42, 377-379.
9. Poirier, D.J., 1978, The use of the Box-Cox transformation in limited dependent variable models, Journal of the American Statistical Association 73, 284-287.