A Kernel Test for Neglected Nonlinearity

Bradley Ralph and Robert McClelland
Additional contact information
Bradley Ralph: US Bureau of Labor Statistics Washington, DC

Studies in Nonlinear Dynamics & Econometrics, 1996, vol. 1, issue 2, 14

Abstract: This paper develops a new kernel test for neglected nonlinearity in the conditional expectation function, and compares this test to the Ramsey RESET test (1969) and the Neural Net test of Lee, White, and Granger (1993). Like the Neural Test and the Ramsey Reset Test, this Kernel test is a Lagrange Multiplier test based on the R-Square statistic from a regression of the estimated residuals on the regressors, and an additional nonlinear function of the regressors. Unlike the other tests, our test has a two stage approach where in the first stage we estimate the structure of the misspecification and in the second stage we test for whether or not the estimate of the misspecification can better predict the residuals than their mean. This two stage approach can give the researcher guidance on the nature of the misspecification, and should improve the power of the test since the added function in the regression of the residuals is itself an estimate of the conditional expectation of the residuals given the independent variables. In addition, because it uses simple, well known estimation methods it can be implemented by researchers when using linear models.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1016 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

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: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:1:y:1996:i:2:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1016

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().