On the use of the Box-Cox transformation in a linear regression with a lagged dependent variable

In this paper, we show a maximum likelihood estimation procedure in the Box-Cox model when a lagged dependent variable is included among explanatory variables and the first observation of the dependent variable is random. It is shown in a numerical example that a test of a coefficientof the lagged dependent variable is sensitive to whether the first observation of the dependentvariable is random or not.