Testing linearity using power transforms of regressors

Testing linearity using power transforms of regressors

We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We call t...

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Bibliographic Details
Main Authors: BAEK, Yae In, CHO, Jin Seo, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Box-Cox transform
Gaussian stochastic process
Neglected nonlinearity
Power transformation
Quasi-likelihood ratio test
Trend exponent
Trifold identification problem
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2168
https://ink.library.smu.edu.sg/context/soe_research/article/3168/viewcontent/Testing_linearity_using_power_transforms_of_regressors.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2168
https://ink.library.smu.edu.sg/context/soe_research/article/3168/viewcontent/Testing_linearity_using_power_transforms_of_regressors.pdf

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