Global Identification of the Semiparametric Box-Cox Model

Ivana Komunjer

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: 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.

Keywords: identification; Box-Cox regression; structure (search for similar items in EconPapers)
Date: 2008-04-01
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Related works:
Journal Article: Global identification of the semiparametric Box-Cox model (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:cdl:ucsdec:qt97s197d4

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