Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity

This paper analyzes the interrelationships among Wald, likelihood ratio, Lagrange multiplier statistics for testing neglected nonlinearity. We show that the three test statistics are equivalent under the null although there exists a twofold identification problem. This implies that the trinity property holds for the tests as for the standard case.

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Year of publication:	2015-02
Authors:	Jun, Yae Ji ; Cho, Jin Seo
Institutions:	Economic Research Institute, College of Business and Economics
Subject:	Neglected Nonlinearity \| Wald statistics \| likelihood ratio statistics \| Lagrange multiplier statistics \| Trinity

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Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	Number 2015rwp-78 19 pages longages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011191568