Estimating the retransformed mean in a heteroscedastic two-part model

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. (c) 2004 Elsevier B.V. All rights reserved.