Variable Addition and Lagrange Multiplier Tests for Linear and Logarithmic Regression Models
研究了线性与对数回归模型的多种检验方法，包括非嵌套检验、Box-Cox变换检验和函数形式误设诊断检验，并通过蒙特卡洛实验考察了小样本性质和对非正态误差的稳健性。
The purpose of this paper is to examine the properties of various tests of linear and logarithmic (or log-linear) regression models. The test procedures may be categorized as follows: (1) tests that exploit the fact that the two models are intrinsically non-nested; (2) tests based on the Box-Cox data transformation; and (3) diagnostic tests of functional form misspecification against an unspecified alternative. The small-sample properties of several tests are investigated through a Monte Carlo experiment, as is their robustness to non-normality of the errors. Copyright 1988 by MIT Press.