A Semiparametric Derivative Estimator in Log Transformation Models
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 analytically 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 with health expenditure data from the Medical Expenditure Panel Survey.
|Date of creation:||Jul 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/postgrad/herc/hedg/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:yor:hectdg:06/06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jane Rawlings)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.