Estimating the Retransformed Mean in a Heteroscedastic Two-Part Model

Alan Welsh and Xiao-Hua Zhou
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Alan Welsh: University of Southampton
Xiao-Hua Zhou: University of Washington

No 1047, UW Biostatistics Working Paper Series from Berkeley Electronic Press

Abstract: Two distribution free estimators are proposed to estimate the mean of a dependent variable after fitting a semiparametric two-part heteroscedastic regression model to a transformation of the dependent variable. We show that the proposed estimators are consistent and have asymptotic normal distributions. We also compare their finite-sample performance in a simulation study. Finally, we illustrate the proposed methods in a real-world example of predicting in-patient health care costs.

Keywords: extra zeros; health care costs; heteroscedastic regression model; retransformation; skewed data; smearing; two-part model (search for similar items in EconPapers)
Date: 2004-09-29
Note: oai:bepress.com:uwbiostat-1047
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Citations: View citations in EconPapers (1)

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