Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow at imail.org
801.408.8111
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of Ikerne del Valle
> Sent: Thursday, May 21, 2009 4:29 AM
> To: fernando.tusell at ehu.es
> Cc: r-help at r-project.org
> Subject: [R] How can I estimate a Box-Cox function with R?
>
>
> Dear Fernando and all:
>
> Thanks for your help. Now works. This is
> a training example to learn how to estimate a
> Box-Cox (right and/or left side transformations)
> with R (as LIMDEP does) in order to compare these
> estimations with the ones derived by applying
> NLS, ones the dependent variable has been divided
> by its geometric mean (see below) as suggested by
> (Zarembka (1974) and Spitzer (1984). However the
> example of the demand of money seems not to work.
> Any idea to face the error messages or how to
> estimate a Box-Cox function with R?
>
> Best regards,
> Ikerne
>
> library(nlrwr)
> r<-
> c(4.50,4.19,5.16,5.87,5.95,4.88,4.50,6.44,7.83,6.25,5.50,5.46,7.46,10.2
> 8,11.77,13.42,11.02,8.50,8.80,7.69)
> Lr<-log(r)
> M<-
> c(480.00,524.30,566.30,589.50,628.20,712.80,805.20,861.00,908.40,1023.1
> 0,1163.60,1286.60,1388.90,1497.90,1631.40,1794.40,1954.90,2188.80,2371.
> 70,2563.60)
> LM<-log(M)
> Y<-
> c(2208.30,2271.40,2365.60,2423.30,2416.20,2484.80,2608.50,2744.10,2729.
> 30,2695.00,2826.70,2958.60,3115.20,3192.40,3187.10,3248.80,3166.00,3277
> .70,3492.00,3573.50)
> LY<-log(Y)
> gmM<-exp((1/20)*sum(LM))
> GM<-M/gmM
> Gr<-r/gmM
> GY<-Y/gmM
> money<-data.frame(r,M,Y,Lr,LM,LY,GM,Gr,GY)
> attach(money)
> ols1<-lm(GM~r+Y)
> output1<-summary(ols1)
> coef1<-ols1$coefficients
> a1<-coef1[[1]]
> b11<-coef1[[2]]
> b21<-coef1[[3]]
> ols2<-lm(GM~Gr+GY)
> output2<-summary(ols2)
> coef2<-ols2$coefficients
> a2<-coef2[[1]]
> b12<-coef2[[2]]
> b22<-coef2[[3]]
> money.m1<-
> nls(GM~a+b*r^g+c*Y^g,data=money,start=list(a=a1,b=b11,g=1,c=b21))
> money.m2<-
> nls(GM~a+b*Gr^g+c*GY^g,data=money,start=list(a=a2,b=b12,g=1,c=b22))
>
>
> Ikerne del Valle Erkiaga
> Department of Applied Economics V
> Faculty of Economic and Business Sciences
> University of the Basque Country
> Avda. Lehendakari Agirre, N? 83
> 48015 Bilbao (Bizkaia) Spain
>
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