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Power of Tests for Nonlinear Transformationin Regression Analysis

Published online by Cambridge University Press:  11 February 2009

Masahito Kobayashi
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Abstract

This paper compares the local power of tests for anonlinear transformation of the dependent variablein a regression model against the alternativehypothesis of a linear transformation. It is shownthat the local power of the Cox test is higher thanthose of the extended projection test of MacKinnon,White, and Davidson, and Bera and McAleer's test.The theoretical result is supported by a Monte-Carloexperiment in testing for a regression model with alogarithmically transformed dependent variableagainst a linear regression model.

Information

Type
Research Article
Information
Econometric Theory , Volume 10 , Issue 2 , June 1994, pp. 357 - 371
Copyright
Copyright © Cambridge University Press 1994

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