The Box-Cox (1964) transformation model is widely used in various fields of econometrics and statistics. Generally, the maximum likelihood estimator under the normality assumption (BC MLE) is used. However, the BC MLE is not consistent under heteroscedasticity, even if the “small...

The Box-Cox (1964) transformation model (BC model) is widely used to examine various problems. The likelihood function under the normality assumption is misspecified, and the maximum likelihood estimator (BC MLE) cannot in general be consistent. However, under the “small sigma” assumption...

Type I (censored regression) and Type II Tobit (sample selection) models are widely used in the various fields of economics. The Type I Tobit model is a special case of the Type II Tobit model. However, the dimension of the error terms decreases and the distribution of the error terms...

Type I (censored regression) and Type II Tobit (sample selection) models are widely used in the various fields of economics. The Type I Tobit model is a special case of the Type II Tobit model. However, the dimension of the error terms decreases and the distribution of the error terms...