Semiparametric estimation of a Box-Cox transformation model with varying coefficients model

This paper considers the estimation of a Box-Cox transformation model with varying coefficient. A two-step approach is proposed in which the first step estimates the varying cofficients nonparametrically for any given parameter α in the transformation function. Then a one-dimensional search of α has been employed based on some least absolute deviation criterion function. The validity of our estimator does not require independence assumption thus is robust to the conditional heteroscedasticity. A simulation study shows a reasonably well finite sample performance. Additionally, a comprehensive empirical study has been carefully examined.