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Global Identification of the Semiparametric Box-Cox Model

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  • Komunjer, Ivana

Abstract

This paper establishes the identifiability of the parameters of the Box-Cox model under restrictions that do not require the disturbance in the model to be independent of the explanatory variables. The proposed restrictions are semiparametric in nature: they restrict the support of the conditional distribution of the disturbance but do not require the latter to be known.

Suggested Citation

  • Komunjer, Ivana, 2008. "Global Identification of the Semiparametric Box-Cox Model," University of California at San Diego, Economics Working Paper Series qt97s197d4, Department of Economics, UC San Diego.
    • Handle: RePEc:cdl:ucsdec:qt97s197d4
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    References listed on IDEAS

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    1. N.E. Savin & Allan H. Würtz, 2002. "Testing the Semiparametric Box-Cox Model with Bootstrap," CAM Working Papers 2002-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    2. 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.
    3. 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.
    4. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-447, March.
    5. Andrews,Donald W. K. & Stock,James H. (ed.), 2005. "Identification and Inference for Econometric Models," Cambridge Books, Cambridge University Press, number 9780521844413.
    6. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    7. Powell, James L., 1996. "Rescaled methods-of-moments estimation for the Box-Cox regression model," Economics Letters, Elsevier, vol. 51(3), pages 259-265, June.
    8. 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.
    9. 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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