Double Length Regressions for Testing the Box-Cox Difference Transformation.

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Park, Timothy;
(1991)
  • Journal: Review of Economics & Statistics,volume 73,issue 1 February,pages181-85

The Box-Cox difference transformation is used to determine the appropriate specification for estimation of hedge ratios and a new double length regression form of the Lagrange multiplier test is presented for the difference transformation. The Box-Cox difference transfo... View more
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