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Global identification of the semiparametric Box-Cox model

  • Komunjer, Ivana

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Komunjer, Ivana, 2007. "Global Identification In Nonlinear Semiparametric Models," University of California at San Diego, Economics Working Paper Series qt8dk0n386, Department of Economics, UC San Diego.
  2. 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.
  3. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
  4. 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.
  5. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-47, March.
  6. 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.
  7. 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.
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