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Estimating The Retransformed Mean In A Heteroscedastic Two-Part Model, Alan H. Welsh, Xiao-Hua Zhou
Estimating The Retransformed Mean In A Heteroscedastic Two-Part Model, Alan H. Welsh, Xiao-Hua Zhou
UW Biostatistics Working Paper Series
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.