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Global Identification of the Semiparametric Box-Cox Model

  • Author(s): Komunjer, Ivana
  • et al.
Abstract

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.

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