An explicit variance formula for the Box – Cox functional form estimator *
نویسندگان
چکیده
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. 2002 Elsevier Science B.V. All rights reserved.
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