Lee, Tae-Hwy - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 4, pp. 1063-1063
This article considers two conditional moment tests for neglected nonlinearity in regression models and examines their finite sample performance. The two tests are the nonparametric kernel test by Li and Wang (1998) and Zheng (1996) and the neural network test of White (1989). The article...