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...

Olles dieđut

Bibliográfalaš dieđut
Váldodahkkit: Castle, J, Hendry, D
Materiálatiipa: Working paper
Almmustuhtton: University of Oxford 2007