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

A-Tier
Journal: Review of Economics and Statistics
Year: 1994
Volume: 76
Issue: 3
Pages: 560-70

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:tpr:restat:v:76:y:1994:i:3:p:560-70
Journal Field
General
Author Count
1
Added to Database
2026-01-29