Publication Type
Journal Article
Version
publishedVersion
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
Citation
YANG, Zhenlin.
A new statistic for regression transformation. (2000). TEST. 9, (1), 123-131.
Available at: https://ink.library.smu.edu.sg/soe_research/2153
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/10.1007/BF02595854