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

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.

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Year of publication:	1991
Authors:	Park, Timothy
Published in:	The Review of Economics and Statistics. - MIT Press. - Vol. 73.1991, 1, p. 181-85
Publisher:	MIT Press

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005740981