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Testing linear and loglinear error components regressions against Box-Cox alternatives

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Author Info

  • Baltagi, Badi H.

Abstract

This paper derives Lagrange multiplier tests based on double-length artificial regressions for testing linear and loglinear error component regressions against Box-Cox alternatives. These tests are easy to implement and should prove useful in panel data regressions.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 33 (1997)
Issue (Month): 1 (April)
Pages: 63-68

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Handle: RePEc:eee:stapro:v:33:y:1997:i:1:p:63-68

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Related research

Keywords: Lagrange multiplier Double-length regressions Error components Box-Cox transformation;

References

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  1. Russell Davidson & James G. MacKinnon, 1981. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 426, Queen's University, Department of Economics.
  2. Baltagi, Badi H & Levin, Dan, 1986. "Estimating Dynamic Demand for Cigarettes Using Panel Data: The Effects of Bootlegging, Taxation and Advertising Reconsidered," The Review of Economics and Statistics, MIT Press, vol. 68(1), pages 148-55, February.
  3. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics.
  4. Baltagi, Badi H. & Griffin, James M., 1983. "Gasoline demand in the OECD : An application of pooling and testing procedures," European Economic Review, Elsevier, vol. 22(2), pages 117-137, July.
  5. Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 487-96, July.
  6. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
  7. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August.
  8. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  9. Larson, Alexander C & Watters, John S, 1993. "A Convenient Test of Functional Form for Pooled Econometric Models," Empirical Economics, Springer, vol. 18(2), pages 271-80.
  10. Breusch, Trevor S., 1987. "Maximum likelihood estimation of random effects models," Journal of Econometrics, Elsevier, vol. 36(3), pages 383-389, November.
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Citations

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Cited by:
  1. Liangjun Su & Zhenlin Yang, 2009. "Asymptotics and Bootstrap for Transformed Panel Data Regressions," Working Papers 03-2009, Singapore Management University, School of Economics.
  2. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.

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