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A semiparametric derivative estimator in log transformation models

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  • Chunrong Ai
  • Edward C. Norton

Abstract

This paper considers a regression model with a log-transformed dependent variable. The log transformed model is estimated by simple least squares, but computing the conditional mean of the dependent variable on the original scale given the explanatory variables requires knowing the conditional distribution of the error term in the transformed model. We show how to obtain a consistent estimator for the conditional mean and its derivatives without specifying the conditional distribution of the error term. The asymptotic distribution of the estimator is derived. The proposed procedure is then illustrated via a simulation study. Copyright The Author(s). Journal compilation Royal Economic Society 2008

Suggested Citation

  • Chunrong Ai & Edward C. Norton, 2008. "A semiparametric derivative estimator in log transformation models," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 538-553, November.
    • Handle: RePEc:ect:emjrnl:v:11:y:2008:i:3:p:538-553
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    Cited by:

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    5. Shengwu Shang & Erik Nesson & Maoyong Fan, 2018. "Interaction Terms In Poisson And Log Linear Regression Models," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 89-96, January.
    6. Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.
    7. Devon Wilson & Donald Dantzler & Damian Evans & Richard McGregory, 2020. "Do Racial Disparities Exist in the Labor Market for Educators?," Journal of Economics, Race, and Policy, Springer, vol. 3(3), pages 195-204, September.
    8. Marcu, Mircea & Knapp, Caprice & Madden, Vanessa & Brown, David & Wang, Hua & Sloyer, Phyllis, 2014. "Effects of an Integrated Care System on Children with Special Health Care Needs' Medicaid Expenditures," Working Papers 2014-8, University of Alberta, Department of Economics.
    9. Aliasghar, Omid & Haar, Jarrod, 2023. "Open innovation: Are absorptive and desorptive capabilities complementary?," International Business Review, Elsevier, vol. 32(2).
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    11. Borislava Mihaylova & Andrew Briggs & Anthony O'Hagan & Simon G. Thompson, 2011. "Review of statistical methods for analysing healthcare resources and costs," Health Economics, John Wiley & Sons, Ltd., vol. 20(8), pages 897-916, August.

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