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

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  • Godfrey, Leslie G
  • McAleer, Michael
  • McKenzie, Colin R

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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  • 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.
    • Handle: RePEc:tpr:restat:v:70:y:1988:i:3:p:492-503
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    References listed on IDEAS

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    1. Plosser, Charles I & Schwert, G William & White, Halbert, 1982. "Differencing as a Test of Specification," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 535-552, October.
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    7. L. G. Godfrey & M. R. Wickens, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 48(3), pages 487-496.
    8. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    9. MacKinnon, James G. & White, Halbert & Davidson, Russell, 1983. "Tests for model specification in the presence of alternative hypotheses : Some further results," Journal of Econometrics, Elsevier, vol. 21(1), pages 53-70, January.
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