Publication Type
Journal Article
Version
publishedVersion
Publication Date
9-2004
Abstract
This paper presents three versions of the Lagrange multiplier (LM) tests of transformation in nonlinear regression: (i) LM test based on expected information, (ii) LM test based on Hessian, and (iii) the LM test based on gradient. All three tests can be easily implemented through a nonlinear least squares procedure. Simulation results show that, in terms of finite sample performance, the LM test based on expected information is the best, followed by the LM test based on Hessian and then the LM test based on gradient. The LM test based on gradient can perform rather poorly. An example is given for illustration.
Keywords
Box-Cox transformation, Lagrange multiplier test, Nonlinear regression
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
84
Issue
3
First Page
391
Last Page
398
ISSN
0165-1765
Identifier
10.1016/j.econlet.2004.03.010
Publisher
Elsevier
Citation
YANG, Zhenlin and CHEN, Gemai.
Tests of Transformation in Nonlinear Regression. (2004). Economics Letters. 84, (3), 391-398.
Available at: https://ink.library.smu.edu.sg/soe_research/176
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2004.03.010