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Global identification of the semiparametric Box-Cox model

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  • Komunjer, Ivana

Abstract

We show identifiability of the Box-Cox model under restrictions that do not require the disturbance U to be independent or mean independent of the explanatory variable X. Our restrictions are on the support of the distribution of U given X.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4W15KNH-1/2/35d96847fa14e63b3204e9a38d6d8ef1
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 104 (2009)
Issue (Month): 2 (August)
Pages: 53-56

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Handle: RePEc:eee:ecolet:v:104:y:2009:i:2:p:53-56

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Identification Box-Cox regression Support conditions Structure;

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  1. Komunjer, Ivana, 2008. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt2r59d87f, Department of Economics, UC San Diego.
  2. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-47, March.
  3. Khazzoom, J. Daniel, 1989. "A note on the application of the nonlinear two-stage least-squares estimator to a Box-Cox-transformed model," Journal of Econometrics, Elsevier, vol. 42(3), pages 377-379, November.
  4. N.E. Savin & Allan H. W├╝rtz, 2002. "Testing the Semiparametric Box-Cox Model with Bootstrap," CAM Working Papers 2002-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  5. Foster A. M. & Tian L. & Wei L. J., 2001. "Estimation for the Box-Cox Transformation Model Without Assuming Parametric Error Distribution," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1097-1101, September.
  6. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  7. Amemiya, Takeshi & Powell, James L., 1981. "A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator," Journal of Econometrics, Elsevier, vol. 17(3), pages 351-381, December.
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