Publication Type

Journal Article

Publication Date

6-2000

Abstract

A new statistic for testing a regression transformation is proposed based on a result of Yang (1999). This statistic is shown to be stable, having a null distribution almost independent of model type and parameter values, accurate and easy to implement. The statistic is of the Wald-type and thus is compared with the Wald statistic given by Lawrence (1987) in terms of size, null distribution and power using simulation. The simulation results show that the new statistic generally outperforms that of Lawrence.

Keywords

Asymptotic expansion, Box-Cox transformation, Monte Carlo simulation, new statistic, Wald statistic

Discipline

Econometrics

Research Areas

Econometrics

Publication

TEST

Volume

9

Issue

1

First Page

123

Last Page

131

ISSN

1133-0686

Identifier

10.1007/BF02595854

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

https://doi.org/10.1007/BF02595854

Included in

Econometrics Commons

Share

COinS