Testing linearity using power transforms of regressors

DOI10.1016/J.JECONOM.2015.03.041zbMATH Open1337.62149OpenAlexW3123296663MaRDI QIDQ494413FDOQ494413

Authors: Yae In Baek, Jin Seo Cho, Peter C. B. Phillips 

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2168

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zbMATH Keywords

neglected nonlinearitypower transformationGaussian stochastic processBox-Cox transformquasi-likelihood ratio testtrend exponenttrifold identification problem

Mathematics Subject Classification ID

General nonlinear regression (62J02) Applications of statistics to economics (62P20)

Cites Work

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• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Asymptotic theory of nonlinear least squares estimation
• Regression with slowly varying regressors and nonlinear trends
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• Higher-order approximations for testing neglected nonlinearity
• Nonlinear cointegrating regression under weak identification
• Revisiting tests for neglected nonlinearity using artificial neural networks
• On the Comparative Anatomy of Transformations
• Testing linearity using power transforms of regressors
• Testing for unobserved heterogeneity in exponential and Weibull duration models

Cited In (11)

• Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
• Testing for the effects of omitted power transformations
• Weak \(\sigma\)-convergence: theory and applications
• Inference on a semiparametric model with global power law and local nonparametric trends
• Directionally differentiable econometric models
• Nonlinear cointegrating power function regression with endogeneity
• Pythagorean generalization of testing the equality of two symmetric positive definite matrices
• Kernel-based inference in time-varying coefficient cointegrating regression
• Testing linearity using power transforms of regressors
• Selecting a linearizing power transformation for time series
• Sequentially estimating the structural equation by power transformation

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