Sequentially testing polynomial model hypotheses using power transforms of regressors

Sequentially testing polynomial model hypotheses using power transforms of regressors

We provide a methodology for testing a polynomial model hypothesis by generalizing the approach and results of Baek, Cho, and Phillips (Journal of Econometrics, 2015, 187, 376–384; BCP), which test for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We use...

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Bibliographic Details
Main Authors: CHO, Jin Seo, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
QLR test
Asymptotic null distribution
Misspecification
Mincer equation
Nonlinearity
Polynomial model
Power Gaussian process
Sequential testing
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2369
https://ink.library.smu.edu.sg/context/soe_research/article/3368/viewcontent/Sequentially_Testing_PMH_2016_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2369
https://ink.library.smu.edu.sg/context/soe_research/article/3368/viewcontent/Sequentially_Testing_PMH_2016_sv.pdf

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