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st: Box-Cox estimation
I have the following questions about Box-Cox
1. In the test of significance of the Box-Cox
transform parameters (theta and lambda), the p-value
for lambda in my model is greater than 0.05. I read
the reference manual and it interprets an
insignificant lambda as right-hand-side transformation
not significantly adding to the regression. However,
it seems that the null hypothesis is lambda being zero
which implies a natural logarithmic form of the
variable. Does an insignificant lambda in fact mean
that natural logarithmic form of the variable cannot
2. When only one independent variable is transformed,
the output states that lambda is not identified in the
restricted model for LR test but test statistic is
still provided. Is the statistic valid for hypothesis
3. There is no robust option for Box-Cox
estimation. How can I obtain robust standard errors
for the estimation?
Thanks in advance.
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