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A Simple Specification Test for the Predictive Ability of Transformation Models

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  • Wooldridge, Jeffrey M

Abstract

A specification test is proposed to test the adequacy of the implicit conditional mean specification in a transformation model. Regardless of the transformation under the null, the statistic is computable from ordinary least squares output via auxiliary ordinary least squares regressions. Further, the test presumes no particular form for the conditional variance of the transformed and untransformed regressands. A simple goodness-of-fit measure that can be used to compare across transformations is a natural byproduct of the analysis. An application to a well-known fisheries data set is included. Copyright 1994 by MIT Press.

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  • Wooldridge, Jeffrey M, 1994. "A Simple Specification Test for the Predictive Ability of Transformation Models," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 59-65, February.
    • Handle: RePEc:tpr:restat:v:76:y:1994:i:1:p:59-65
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    1. Tae‐Hyoung Tommy Gim, 2021. "Quantile regression on the nonlinear relationship between land use and trip time," Papers in Regional Science, Wiley Blackwell, vol. 100(4), pages 1055-1077, August.
    2. Ikerne Valle Erkiaga & Kepa Ikazuriaga, 2013. "Assessing Changes in Capital and Investment as a Result of Fishing Capacity Limitation Programs," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 54(2), pages 223-260, February.
    3. Insik Min & Sheng jang Sheu & Zijun Wang, 2003. "A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 125-136, May.
    4. Domino, Marisa Elena & Huskamp, Haiden, 2005. "Does provider variation matter to health plans?," Journal of Health Economics, Elsevier, vol. 24(4), pages 795-813, July.
    5. Diquigiovanni, Jacopo & Fontana, Matteo & Vantini, Simone, 2022. "Conformal prediction bands for multivariate functional data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    6. Azémar, Céline & Desbordes, Rodolphe, 2013. "Has the Lucas Paradox been fully explained?," Economics Letters, Elsevier, vol. 121(2), pages 183-187.
    7. Ikerne del valle & Kepa Astorkiza & Inmaculada Astorkiza, 2009. "Has the European Structural Fisheries Policy Influenced on the Second Hand Market of Fishing Vessels?," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 9, pages 143-169, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.

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