Standard errors for the retransformation problem with heteroscedasticity.

Abstract:

:Economists often estimate models with a log-transformed dependent variable. The results from the log-transformed model are often retransformed back to the unlogged scale. Other studies have shown how to obtain consistent estimates on the original scale but have not provided variance equations for those estimates. In this paper, we derive the variance for three estimates--the conditional mean of y, the slope of y, and the average slope of y--on the retransformed scale. We then illustrate our proposed procedures with skewed health expenditure data from a sample of Medicaid eligible patients with severe mental illness.

journal_name

J Health Econ

authors

Ai C,Norton EC

doi

10.1016/s0167-6296(00)00046-1

subject

Has Abstract

pub_date

2000-09-01 00:00:00

pages

697-718

issue

5

eissn

0167-6296

issn

1879-1646

pii

S0167-6296(00)00046-1

journal_volume

19

pub_type

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