publication . Article . 1991

Double Length Regressions for Testing the Box-Cox Difference Transformation

Timothy Park;
Open Access
  • Published: 01 Jan 1991 Journal: Review of Economics & Statistics, volume 73, issue 1 February, pages 181-85
Abstract
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 transformation allows the testing of the first difference model and the returns model as special cases of the Box-Cox difference transformation. Copyright 1991 by MIT Press.
Subjects
free text keywords: Economics and Econometrics, Social Sciences (miscellaneous), Regression, Mathematics, Econometrics, Hedge ratio, Applied mathematics, Score test
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