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Estimating the Retransformed Mean in a Heteroscedastic Two-Part Model

Author

Listed:
  • Alan Welsh

    (University of Southampton)

  • Xiao-Hua Zhou

    (University of Washington)

Abstract

Two distribution free estimators are proposed to estimate the mean of a dependent variable after fitting a semiparametric two-part heteroscedastic regression model to a transformation of the dependent variable. We show that the proposed estimators are consistent and have asymptotic normal distributions. We also compare their finite-sample performance in a simulation study. Finally, we illustrate the proposed methods in a real-world example of predicting in-patient health care costs.

Suggested Citation

  • Alan Welsh & Xiao-Hua Zhou, 2004. "Estimating the Retransformed Mean in a Heteroscedastic Two-Part Model," UW Biostatistics Working Paper Series 1047, Berkeley Electronic Press.
    • Handle: RePEc:bep:uwabio:1047
    Note: oai:bepress.com:uwbiostat-1047
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    File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1047&context=uwbiostat
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    References listed on IDEAS

    as
    1. 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.
    2. Willard G. Manning Jr. & Charles E. Phelps, 1979. "The Demand for Dental Care," Bell Journal of Economics, The RAND Corporation, vol. 10(2), pages 503-525, Autumn.
    3. Duan, Naihua, et al, 1983. "A Comparison of Alternative Models for the Demand for Medical Care," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 115-126, April.
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    Cited by:

    1. Patrick Stewart & Wei Ning, 2020. "Modified empirical likelihood-based confidence intervals for data containing many zero observations," Computational Statistics, Springer, vol. 35(4), pages 2019-2042, December.

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