Heteroscedasticity and the use of Box–Cox transformations |
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Authors: | Marc JI Gaudry Marcel G Dagenais |
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Institution: | Université de Montréal, Montréal, H3C 3J7, Canada |
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Abstract: | Direct and inverse power Box–Cox transformations are used to characterize the form of heteroscedasticity in models where the variables themselves are subjected to direct Box–Cox transformations. Resulting formulations are extended to take serial correlation simultaneousy into account. |
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