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COMPUTING MARGINAL EFFECTS IN THE BOX-COX MODEL 

Author: Jason Abrevaya a
Affiliation:   a Department of Economics, Purdue University, Indiana
DOI: 10.1081/ETC-120015789
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 21, Issue 3 January 2002 , pages 383 - 393
Formats available: HTML (English) : PDF (English)
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Abstract

This paper considers computation of fitted values and marginal effects in the Box-Cox regression model. Two methods, 1 the “smearing” technique suggested by Duan (see Ref. [10]) and 2 direct numerical integration, are examined and compared with the “naive” method often used in econometrics.
Keywords: Marginal effects; Box-Cox model; JEL Classification: C13, C21
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