Testing linear and loglinear error components regressions against Box-Cox alternatives

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Abstract

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.

Original languageEnglish (US)
Pages (from-to)63-68
Number of pages6
JournalStatistics and Probability Letters
Volume33
Issue number1
StatePublished - Apr 15 1997
Externally publishedYes

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Keywords

  • Box-cox transformation
  • Double-length regressions
  • Error components
  • Lagrange multiplier

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

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