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Central Social Insurance Medical Council (2014) DPC taishou hyouin Junbi hyouin no kibo (heisei 26 nen 4gatsu 1 nichi) mikomi (Estimated Sizes of DPC Hospitals and Preparing Hospitals as of April 1st, 2014). (In Japanese)

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• TITLE: Asymptotic Efficiency of the Maximum Likelihood Estimator for the Box-Cox Transformation Model with Heteroscedastic Disturbances

  AUTHORS: Kazumitsu Nawata

  KEYWORDS: Maximum Likelihood Estimator (MLE), Asymptotic Efficiency, Box-Cox Transformation Model, Heteroscedasticity

  JOURNAL NAME: Open Journal of Statistics, Vol.6 No.5, October 21, 2016

  ABSTRACT: This paper considers the asymptotic efficiency of the maximum likelihood estimator (MLE) for the Box-Cox transformation model with heteroscedastic disturbances. The MLE under the normality assumption (BC MLE) is a consistent and asymptotically efficient estimator if the “small ” condition is satisfied and the number of parameters is finite. However, the BC MLE cannot be asymptotically efficient and its rate of convergence is slower than ordinal order when the number of parameters goes to infinity. Anew consistent estimator of order is proposed. One important implication of this study is that estimation methods should be carefully chosen when the model contains many parameters in actual empirical studies.