Tests of Transformation in Nonlinear Regression

• Main Authors: YANG, Zhenlin, CHEN, Gemai
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Box-Cox transformation; Lagrange multiplier test; Nonlinear regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/176; https://ink.library.smu.edu.sg/context/soe_research/article/1175/viewcontent/YangChen_2004_Tests_Transformation_NLR.pdf
• Institution: Singapore Management University

This paper presents three versions of the Lagrange multiplier (LM) tests of transformation in nonlinear regression: (i) LM test based on expected information, (ii) LM test based on Hessian, and (iii) the LM test based on gradient. All three tests can be easily implemented through a nonlinear least s...