Department of Economics, UCSD
Global Identification of the Semiparametric Box-Cox Model
- Author(s): Komunjer, Ivana
- et al.
This paper establishes the identifiability of the parameters of the Box-Cox model under restrictions that do not require the disturbance in the model to be independent of the explanatory variables. The proposed restrictions are semiparametric in nature: they restrict the support of the conditional distribution of the disturbance but do not require the latter to be known.