Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity

Yae Ji Jun and Jin Seo Cho ()
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Yae Ji Jun: Yonsei University

No 2015rwp-78, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: This paper analyzes the interrelationships among Wald, likelihood ratio, Lagrange multiplier statistics for testing neglected nonlinearity. We show that the three test statistics are equivalent under the null although there exists a twofold identification problem. This implies that the trinity property holds for the tests as for the standard case.

Keywords: Neglected Nonlinearity; Wald statistics; likelihood ratio statistics; Lagrange multiplier statistics; Trinity. (search for similar items in EconPapers)
Pages: 19pages
Date: 2015-02
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2015rwp-78

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