heteroscedasticity, even if the “small sigma†assumption is satisfied.　Here I propose a new robust estimator of the Box-Cox … transformation model. The estimator is based on only the first- and third-moment restrictions of the error terms, and it is …

, the estimator is inconsistent. In this paper, I propose a new estimator of the Box-Cox transformation model that modifies …The maximum likelihood estimator (MLE) under the normality assumption of error terms is widely used to estimate the Box-Cox … transformation model. However, since the error terms cannot be normally distributed, it is not a proper estimator. In other words …

without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is …