Austin:
>>
Well, sure, there are a lot of possible transformations e.g.
arctangent or cube root, but what is the purpose of the
transformation? Are you regressing y on X and thinking the errors
won't be normal? In that case, you may not want to transform y.
Also, have you considered that the y~=0 obs might be somehow
qualitatively different? Note that the sd of return should be
conditioned on size of investment, at least...
<<
This is a bit off topic. I believe you are suggesting that transforming
variables to address non-normal errors is not so important in this
case of an economic data set. Can you explain why? Does the
economics field look past some of the GLM assumptions?
Thanks.
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