IDEAS home Printed from https://ideas.repec.org/a/tpr/restat/v73y1991i1p181-85.html
   My bibliography  Save this article

Double Length Regressions for Testing the Box-Cox Difference Transformation

Author

Listed:
  • Park, Timothy

Abstract

The Box-Cox difference transformation is used to determine the appropriate specification for estimation of hedge ratios and a new double length regression form of the Lagrange multiplier test is presented for the difference transformation. The Box-Cox difference transformation allows the testing of the first difference model and the returns model as special cases of the Box-Cox difference transformation. Copyright 1991 by MIT Press.

Suggested Citation

  • Park, Timothy, 1991. "Double Length Regressions for Testing the Box-Cox Difference Transformation," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 181-185, February.
    • Handle: RePEc:tpr:restat:v:73:y:1991:i:1:p:181-85
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0034-6535%28199102%2973%3A1%3C181%3ADLRFTT%3E2.0.CO%3B2-N&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Baltagi, Badi H. & Li, Dong, 2000. "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation," Economics Letters, Elsevier, vol. 69(1), pages 9-14, October.
    2. Wai Cheung Ip, 2000. "An Exact Test For The Choice Of The Combination Of First Differences And Percentage Changes In Linear Models," Computing in Economics and Finance 2000 31, Society for Computational Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:73:y:1991:i:1:p:181-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kelly McDougall (email available below). General contact details of provider: https://direct.mit.edu/journals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.