A new statistic for regression transformation
A new statistic for testing a regression transformation is proposed based on a result of Yang (1999). This statistic is shown to be stable, having a null distribution almost independent of model type and parameter values, accurate and easy to implement. The statistic is of the Wald-type and thus is...
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Institutional Knowledge at Singapore Management University
2000
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sg-smu-ink.soe_research-31532018-02-15T03:23:57Z A new statistic for regression transformation YANG, Zhenlin A new statistic for testing a regression transformation is proposed based on a result of Yang (1999). This statistic is shown to be stable, having a null distribution almost independent of model type and parameter values, accurate and easy to implement. The statistic is of the Wald-type and thus is compared with the Wald statistic given by Lawrence (1987) in terms of size, null distribution and power using simulation. The simulation results show that the new statistic generally outperforms that of Lawrence. 2000-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2153 info:doi/10.1007/BF02595854 https://ink.library.smu.edu.sg/context/soe_research/article/3153/viewcontent/Yang_Test_Regression.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asymptotic expansion Box-Cox transformation Monte Carlo simulation new statistic Wald statistic Econometrics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
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Asia |
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Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Asymptotic expansion Box-Cox transformation Monte Carlo simulation new statistic Wald statistic Econometrics |
| spellingShingle |
Asymptotic expansion Box-Cox transformation Monte Carlo simulation new statistic Wald statistic Econometrics YANG, Zhenlin A new statistic for regression transformation |
| description |
A new statistic for testing a regression transformation is proposed based on a result of Yang (1999). This statistic is shown to be stable, having a null distribution almost independent of model type and parameter values, accurate and easy to implement. The statistic is of the Wald-type and thus is compared with the Wald statistic given by Lawrence (1987) in terms of size, null distribution and power using simulation. The simulation results show that the new statistic generally outperforms that of Lawrence. |
| format |
text |
| author |
YANG, Zhenlin |
| author_facet |
YANG, Zhenlin |
| author_sort |
YANG, Zhenlin |
| title |
A new statistic for regression transformation |
| title_short |
A new statistic for regression transformation |
| title_full |
A new statistic for regression transformation |
| title_fullStr |
A new statistic for regression transformation |
| title_full_unstemmed |
A new statistic for regression transformation |
| title_sort |
new statistic for regression transformation |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2000 |
| url |
https://ink.library.smu.edu.sg/soe_research/2153 https://ink.library.smu.edu.sg/context/soe_research/article/3153/viewcontent/Yang_Test_Regression.pdf |
| _version_ |
1770574028074909696 |