Testing linear and loglinear error components regressions against Box-Cox alternatives
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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Volume (Year): 33 (1997)
Issue (Month): 1 (April)
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References listed on IDEAS
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- Breusch, Trevor S., 1987. "Maximum likelihood estimation of random effects models," Journal of Econometrics, Elsevier, vol. 36(3), pages 383-389, November.
- Davidson, Russell & MacKinnon, James G, 1988.
"Double Length Artificial Regressions,"
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Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
- Russell Davidson & James G. MacKinnon, 1981. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 426, Queen's University, Department of Economics.
- Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
- 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.
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- 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.
- 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.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
- 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.
- 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.
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