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Estimating the retransformed mean in a heteroscedastic two-part model

Welsh, Alan; Zhou, Xun


Two distribution-free estimators are proposed to estimate the mean of a dependent variable after fitting a semiparametric two-part heteroscedastic regression model to a transformation of the dependent variable. We show that the proposed estimators are consistent and have asymptotic normal distributions. We also compare their finite-sample performance in a simulation study. Finally, we illustrate the proposed methods in a real-world example of predicting in-patient health care costs.

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Journal of Statistical Planning and Inference
DOI: 10.1016/j.jspi.2004.07.009


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