Global Identification of the Semiparametric Box-Cox Model

This paper establishes the identifiability of the parameters of the Box-Cox model under restrictions that do not require the disturbance in the model to be independent of the explanatory variables. The proposed restrictions are semiparametric in nature: they restrict the support of the conditional distribution of the disturbance but do not require the latter to be known.

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Year of publication:	2008-04-01
Authors:	Komunjer, Ivana
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	identification \| Box-Cox regression \| structure

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010817524