Global identification of the semiparametric Box-Cox model

We show identifiability of the Box-Cox model under restrictions that do not require the disturbance U to be independent or mean independent of the explanatory variable X. Our restrictions are on the support of the distribution of U given X.

MoreLess

Year of publication:	2009
Authors:	Komunjer, Ivana
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 104.2009, 2, p. 53-56
Publisher:	Elsevier
Keywords:	Identification Box-Cox regression Support conditions Structure

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023501