Sequentially testing polynomial model hypotheses using power transforms of regressors

• 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
• Institution: Singapore Management University

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...