Testing linearity using power transforms of regressors

• المؤلفون الرئيسيون: BAEK, Yae In, CHO, Jin Seo, PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2015
• الموضوعات: Box-Cox transform; Gaussian stochastic process; Neglected nonlinearity; Power transformation; Quasi-likelihood ratio test; Trend exponent; Trifold identification problem; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...