ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
比较了线性与对数线性回归模型中几种检验方法的渐近功效，发现Godfrey和Wickens提出的拉格朗日乘子检验功效最高，而其他三种检验功效较低且渐近等价。
This paper compares several tests for linear and loglinear regression models where both the dependent and independent variables are transformed. It is shown that the Lagrange multiplier test proposed by Godfrey and Wickens (1981, Review of Economic Studies 48, 487–496) in the framework of the Box–Cox regression model has the highest asymptotic power of the compared tests. The extended projection test of MacKinnon, White, and Davidson (1983, Journal of Econometrics 11, 53–70), the test of Bera and McAleer (1983, paper presented to the SSRC Econometric Study Group Conference on Model Specification and Testing, Warwick; 1989, Sankhya B 51, 212–224), and the test of Andrews (1971, Biometrika 58, 249–254) are shown to have asymptotically equivalent powers and to have lower powers than the nonnested test of Cox (1961, Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, 105–123, Berkeley: University of California Press; 1962, Journal of the Royal Statistical Society B 24, 406–424).