Testing for neglected nonlinearity in regression models based on the theory of random fields.
Within a flexible regression model (J.D. Hamilton, Econometrica 69 (3) (2001) 537) we offer a battery of new Lagrange multiplier statistics that circumvent the problem of unidentified nuisance parameters under the null hypothesis of linearity and that are robust to the specification of the covarianc...
| Publicado en: | Journal of Econometrics Vol. 114; no. 1; pp. 141 - 165 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
May 2003
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |