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Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models

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Author Info
Godfrey, Leslie G
McAleer, Michael
McKenzie, Colin R

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Abstract

The purpose of this paper is to examine the properties of various tests of linear and logarithmic (or log-linear) regression models. The test procedures may be categorized as follows: (1) tests that exploit the fact that the two models are intrinsically non-nested; (2) tests based on the Box-Cox data transformation; and (3) diagnostic tests of functional form misspecification against an unspecified alternative. The small-sample properties of several tests are investigated through a Monte Carlo experiment, as is their robustness to non-normality of the errors. Copyright 1988 by MIT Press.

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Publisher Info
Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 70 (1988)
Issue (Month): 3 (August)
Pages: 492-503
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Handle: RePEc:tpr:restat:v:70:y:1988:i:3:p:492-503

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