This paper compares the local power of tests for a nonlinear transformation of the dependent variable in a regression model against the alternative hypothesis of a linear transformation. It is shown that the local power of the Cox test is higher than those of the extended projection test of MacKinnon, White, and Davidson, and Bera and McAleer's test. The theoretical result is supported by a Monte-Carlo experiment in testing for a regression model with a logarithmically transformed dependent variable against a linear regression model.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 10 (1994) Issue (Month): 02 (June) Pages: 357-371 Download reference. The following formats are available: HTML
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