Power of Tests for Nonlinear Transformation in Regression Analysis

Masahito Kobayashi

Econometric Theory, 1994, vol. 10, issue 02, pages 357-371

Abstract: This paper compares the local power of tests for a nonlinear transformation of the dependent variable in a regression model against the alternative hypothesis of a linear transformation. It is shown that the local power of the Cox test is higher than those of the extended projection test of MacKinnon, White, and Davidson, and Bera and McAleer's test. The theoretical result is supported by a Monte-Carlo experiment in testing for a regression model with a logarithmically transformed dependent variable against a linear regression model.

Date: 1994
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600008446 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:10:y:1994:i:02:p:357-371_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().