IDEAS home Printed from https://ideas.repec.org/a/tpr/restat/v76y1994i3p560-70.html
   My bibliography  Save this article

A Monte Carlo Investigation of the Box-Cox Model and a Nonlinear Least Squares Alternative

Author

Listed:
  • Showalter, Mark H

Abstract

This paper reports a Monte Carlo study of the Box-Cox model and a nonlinear least squares alternative. Key results include the following: the transformation parameter in the Box-Cox model appears to be inconsistently estimated in the presence of conditional heteroskedasticity; the constant term in both the Box-Cox and the nonlinear least squares models is poorly estimated in small samples; conditional mean forecasts tend to underestimate their true value in the Box-Cox model when the transformation parameter is not equal to one; and conditional heteroskedasticity tends to worsen the bias in the Box-Cox predicted values. Copyright 1994 by MIT Press.

Suggested Citation

  • Showalter, Mark H, 1994. "A Monte Carlo Investigation of the Box-Cox Model and a Nonlinear Least Squares Alternative," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 560-570, August.
    • Handle: RePEc:tpr:restat:v:76:y:1994:i:3:p:560-70
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0034-6535%28199408%2976%3A3%3C560%3AAMCIOT%3E2.0.CO%3B2-5&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. Jason Abrevaya, 2002. "Computing Marginal Effects In The Box-Cox Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 383-393.
    2. Daniel Becker & Alois Kneip & Valentin Patilea, 2021. "Semiparametric inference for partially linear regressions with Box-Cox transformation," Papers 2106.10723, arXiv.org.
    3. Marcus Asplund, 2000. "What Fraction of a Capital Investment is Sunk Costs?," Journal of Industrial Economics, Wiley Blackwell, vol. 48(3), pages 287-304, September.
    4. Manning, Willard G., 1998. "The logged dependent variable, heteroscedasticity, and the retransformation problem," Journal of Health Economics, Elsevier, vol. 17(3), pages 283-295, June.
    5. Kazumitsu Nawata, 2015. "Robust estimation based on the third-moment restriction of the error terms for the Box-Cox transformation model: An estimator consistent under heteroscedasticity," Economics Bulletin, AccessEcon, vol. 35(2), pages 1056-1064.
    6. Kazumitsu Nawata, 2013. "A new estimator of the Box-Cox transformation model using moment conditions," Economics Bulletin, AccessEcon, vol. 33(3), pages 2287-2297.
    7. James Bugden, 2013. "Renovations and the Repeat-Sales House Price Index," Working Papers 2013.08, School of Economics, La Trobe University.
    8. Nawata, K. & Kawabuchi, K., 2013. "Evaluation of the DPC-based inclusive payment system in Japan for cataract operations by a new model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 76-85.
    9. Gormley, Fionnuala M. & Meade, Nigel, 2007. "The utility of cash flow forecasts in the management of corporate cash balances," European Journal of Operational Research, Elsevier, vol. 182(2), pages 923-935, October.

    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:76:y:1994:i:3:p:560-70. 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.