A Monte Carlo Investigation of the Box-Cox Model and a Nonlinear Least Squares Alternative.

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Showalter, Mark H;
  • Journal: Review of Economics & Statistics,volume 76,issue 3 August,pages560-70
  • Subject:
    arxiv: Statistics::Theory | Statistics::Methodology

This paper reports a Monte Carlo study of the Box-Cox model and a nonlinear least squares alternative. Key results include the following: the transformation parameter in the Box-Cox model appears to be inconsistently estimated in the presence of conditional heteroskedas... View more
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