Box - Cox lambda

Econometrics questions and discussions
tavera
Posts: 15
Joined: Thu Dec 10, 2009 9:50 am

Box - Cox lambda

Unread post by tavera »

Dear all
do you know any procedure or example for calculating the optimal value of the lambda coefficient with a Box-Cox transformation ?
Thanks in advance
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Box - Cox lambda

Unread post by TomDoan »

It looks like that was cut out a few versions ago. (I think there used to be an example in one edition of Greene's textbook). That's attached. There is a discussion of the code for the MAXIMIZE approach in the Reference Manual.
Attachments
boxcox.rpf
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tavera
Posts: 15
Joined: Thu Dec 10, 2009 9:50 am

Re: Box - Cox lambda

Unread post by tavera »

Many thanks
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