Economics at your fingertips  

Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models

Leslie Godfrey, Michael McAleer and Colin McKenzie

The Review of Economics and Statistics, 1988, vol. 70, issue 3, 492-503

Abstract: The purpose of this paper is to examine the properties of various tests of linear and logarithmic (or log-linear) regression models. The test procedures may be categorized as follows: (1) tests that exploit the fact that the two models are intrinsically non-nested; (2) tests based on the Box-Cox data transformation; and (3) diagnostic tests of functional form misspecification against an unspecified alternative. The small-sample properties of several tests are investigated through a Monte Carlo experiment, as is their robustness to non-normality of the errors. Copyright 1988 by MIT Press.

Date: 1988
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40) Track citations by RSS feed

Downloads: (external link) ... O%3B2-0&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See for details.

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:

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Amitabh Chandra, Olivier Coibion, Bryan S. Graham, Shachar Kariv, Amit K. Khandelwal, Asim Ijaz Khwaja, Brigitte C. Madrian and Rohini Pande

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Ann Olson ().

Page updated 2021-10-05
Handle: RePEc:tpr:restat:v:70:y:1988:i:3:p:492-503