A new estimator of the Box-Cox transformation model using moment conditions

Kazumitsu Nawata ()
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Kazumitsu Nawata: University of Tokyo

Economics Bulletin, 2013, vol. 33, issue 3, 2287-2297

Abstract: 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, the estimator is inconsistent. In this paper, I propose a new estimator of the Box-Cox transformation model that modifies the MLE in key ways. I demonstrate that the estimator is consistent, and that an asymptotic distribution is obtained. The results of Monte Carlo experiments are also presented.

Keywords: Box-Cox transformation; consistent estimator; moment condition (search for similar items in EconPapers)
JEL-codes: C2 C4 (search for similar items in EconPapers)
Date: 2013-09-10
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Citations: View citations in EconPapers (3)

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