Economics at your fingertips  

A Box-Cox semiparametric multiplicative error model

Xuehai Zhang ()
Additional contact information
Xuehai Zhang: Paderborn University

No 125, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: A general class of SemiMEM (semiparametric multiplicative error) models is proposed by introducing a scale function into a MEM (multiplicative error) class model to analyze the non-negative observations. The estimation of the scale function is not limited by any parametric models specification and the moments condition is also reduced via the Box- Cox transformation. For the purpose, an equivalent scale function is applied in a local linear approach and converted to the scale function under weak moment conditions. The equivalent scale function estimation and the bandwidth, the constant factor in the asymp- totic variance and the power transformation parameters estimation are proposed based on the iterative plug-in (IPI) algorithms. In the power transformation estimation, the maximum likelihood estimation (MLE), the normality test and the the quantile-quantile regression (QQr) are employed and simulation algorithms for the confidence interval of estimated power transformation parameter are also developed by the block bootstrap method. The algorithms fit the selected real data well.

Pages: 34 pages
Date: 2019-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers CIE from Paderborn University, CIE Center for International Economics Contact information at EDIRC.
Bibliographic data for series maintained by WP-WiWi-Info () and ().

Page updated 2023-11-11
Handle: RePEc:pdn:ciepap:125