Testing linearity using power transforms of regressors

DOI10.1016/j.jeconom.2015.03.041zbMath1337.62149OpenAlexW3123296663MaRDI QIDQ494413

Yae In Baek, Jin Seo Cho, Peter C. B. Phillips

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2168

zbMATH Keywords

neglected nonlinearitypower transformationGaussian stochastic processBox-Cox transformquasi-likelihood ratio testtrend exponenttrifold identification problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) General nonlinear regression (62J02)

Related Items

Pythagorean generalization of testing the equality of two symmetric positive definite matrices ⋮ Kernel-based inference in time-varying coefficient cointegrating regression ⋮ DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS ⋮ Testing linearity using power transforms of regressors ⋮ Weak \(\sigma\)-convergence: theory and applications ⋮ INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS ⋮ Comprehensively testing linearity hypothesis using the smooth transition autoregressive model ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY

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