Double Length Regressions for Testing the Box-Cox Difference Transformation
针对套期保值比率估计中的Box-Cox差分变换，提出一种双倍长度回归形式的拉格朗日乘子检验，可检验一阶差分模型和收益率模型是否为该变换的特例。
The Box-Cox difference transformation is used to determine the appropriate specification for estimation of hedge ratios and a new double length regression form of the Lagrange multiplier test is presented for the difference transformation. The Box-Cox difference transformation allows the testing of the first difference model and the returns model as special cases of the Box-Cox difference transformation. Copyright 1991 by MIT Press.