Title

Tests of Transformation in Nonlinear Regression

Publication Type

Journal Article

Publication Date

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

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.econlet.2004.03.010

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