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A semiparametric derivative estimator in log transformation models

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  • Chunrong Ai
  • Edward C. Norton

Abstract

This paper considers a regression model with a log-transformed dependent variable. The log transformed model is estimated by simple least squares, but computing the conditional mean of the dependent variable on the original scale given the explanatory variables requires knowing the conditional distribution of the error term in the transformed model. We show how to obtain a consistent estimator for the conditional mean and its derivatives without specifying the conditional distribution of the error term. The asymptotic distribution of the estimator is derived. The proposed procedure is then illustrated via a simulation study. Copyright The Author(s). Journal compilation Royal Economic Society 2008

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  • Chunrong Ai & Edward C. Norton, 2008. "A semiparametric derivative estimator in log transformation models," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 538-553, November.
  • Handle: RePEc:ect:emjrnl:v:11:y:2008:i:3:p:538-553
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    Cited by:

    1. Ciani, E & Fisher, P, 2013. "Dif-in-dif estimators of multiplicative treatment effects," Economics Discussion Papers 8973, University of Essex, Department of Economics.
    2. Marcu, Mircea & Knapp, Caprice & Madden, Vanessa & Brown, David & Wang, Hua & Sloyer, Phyllis, 2014. "Effects of an Integrated Care System on Children with Special Health Care Needs' Medicaid Expenditures," Working Papers 2014-8, University of Alberta, Department of Economics.
    3. Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.

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