A Low-Dimension Collinearity-Robust Test for Non-linearity.
A new test for non-linearity is developed using weighted combinations of regressor powers based on the eigenvectors of the variance-covariance matrix. The test extends the ingenious test for heteroskedasticity proposed by White (1980), but both circumvents problems of high dimensionality and colline...
| Hoofdauteurs: | , |
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| Formaat: | Working paper |
| Taal: | English |
| Gepubliceerd in: |
Department of Economics (University of Oxford)
2007
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