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Computing Marginal Effects In The Box-Cox Model

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  • Jason Abrevaya

Abstract

This paper considers computation of fitted values and marginal effects in the Box-Cox regression model. Two methods, 1 the “smearing” technique suggested by Duan (see Ref. [10]) and 2 direct numerical integration, are examined and compared with the “naive” method often used in econometrics.

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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-120015789
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 21 (2002)
Issue (Month): 3 ()
Pages: 383-393

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Handle: RePEc:taf:emetrv:v:21:y:2002:i:3:p:383-393

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Related research

Keywords: Marginal effects; Box-Cox model; JEL Classification : C13; C21;

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References

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  1. Showalter, Mark H, 1994. "A Monte Carlo Investigation of the Box-Cox Model and a Nonlinear Least Squares Alternative," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 560-70, August.
  2. Poirier, Dale J & Melino, Angelo, 1978. "A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions," Econometrica, Econometric Society, vol. 46(5), pages 1207-09, September.
  3. 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.
  4. Manning, Willard G., 1998. "The logged dependent variable, heteroscedasticity, and the retransformation problem," Journal of Health Economics, Elsevier, vol. 17(3), pages 283-295, June.
  5. Wooldridge, Jeffrey M, 1992. "Some Alternatives to the Box-Cox Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 935-55, November.
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Cited by:
  1. Jim Engle-Warnick & Sonia Laszlo, 2006. "Learning-by-Doing in an Ambiguous Environment," CIRANO Working Papers 2006s-29, CIRANO.
  2. Philippe Le Goffe & Julien Salanié, 2005. "Le droit d’épandage a-t-il un prix ? Mesure sur le marché foncier," Cahiers d'Economie et Sociologie Rurales, INRA Department of Economics, vol. 77, pages 36-64.
  3. Stéphane Bonhomme & Ulrich Sauder, 2009. "Accounting For Unobservables In Comparing Selective And Comprehensive Schooling," Working Papers wp2009_0906, CEMFI.
  4. Jean-Paul Chaze, 2005. "Assessing household health expenditure with Box-Cox censoring models," Health Economics, John Wiley & Sons, Ltd., vol. 14(9), pages 893-907.

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