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Arch model with Box–Cox transformed dependent variable

✍ Scribed by Nityananda Sarkar


Book ID
104301492
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
96 KB
Volume
50
Category
Article
ISSN
0167-7152

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Asymptotic theory for Box–Cox transforma
✍ Kwanho Cho; In-Kwon Yeo; Richard A. Johnson; Wei-Yin Loh 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 106 KB

We investigate large sample properties of the Box-Cox estimators when the Box-Cox transformed responses follow a regression model. We ÿrst extend Rubin's [Ann. Math. Statist. 27 (1956) 200 -203] theorem and then establish the strong consistency and asymptotic normality of the Box-Cox estimators.