Double Length Regressions for Testing the Box-Cox Difference Transformation
The Review of Economics and Statistics
1991
The Box-Cox difference transformation is used to determine the appropriate specification for estimation of hedge ratios and a new double length regression form of the Lagrange multiplier test is presented for the difference transformation. The Box-Cox difference transformation allows the testing of the first difference model and the returns model as special cases of the Box-Cox difference transformation. Copyright 1991 by MIT Press.
- DOI
- 10.2307/2109704
- Volume
- 73 (1)
- Pages
- 181
- Export
- BibTeX
- Sources
- openalex crossref