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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Year of publication:	1997
Authors:	Baltagi, Badi H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 1, p. 63-68
Publisher:	Elsevier
Keywords:	Lagrange multiplier Double-length regressions Error components Box-Cox transformation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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