A comparison of the Box-Cox maximum likelihood estimator and the non- linear two-stage least squares estimator

DOI10.1016/0304-4076(81)90007-5zbMath0488.62096OpenAlexW2081573321MaRDI QIDQ1166226

James L. Powell, Takeshi Amemiya

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90007-5

zbMATH Keywords

comparisonasymptotic varianceregression modelstwo-parameter gamma distributionBox-Cox maximum likelihood estimatornon-linear two-stage least squares estimatorprobability limits

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (14)

Semiparametric estimation of a Box-Cox transformation model with varying coefficients model ⋮ Shrinkage estimation in nonlinear regression: The Box-Cox transformation ⋮ Semi-parametric estimation for the Box-Cox transformation model with partially linear structure ⋮ An alternative to the Box-Cox transformation in model discrimination ⋮ A note on variable addition tests for linear and log-linear models ⋮ Estimation of a semiparametric transformation model ⋮ Rescaled methods-of-moments estimation for the Box-Cox regression model ⋮ A comparison of the Box-Cox maximum likelihood estimator and the non- linear two-stage least squares estimator ⋮ Semiparametric estimation of the Box-Cox transformation model ⋮ Multiplicative Noise Removal Based on Unbiased Box-Cox Transformation ⋮ COMPUTING MARGINAL EFFECTS IN THE BOX–COX MODEL ⋮ Global identification of the semiparametric Box-Cox model ⋮ Box–Cox power transformation unconditional quantile regressions with an application on wage inequality ⋮ External bootstrap tests for parameter stability.

Cites Work

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• A comparison of the Box-Cox maximum likelihood estimator and the non- linear two-stage least squares estimator
• The nonlinear two-stage least-squares estimator
• On power transformations to symmetry
• A Monte Carlo Investigation of the Box-Cox Transformation in Small Samples
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica

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