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...
| Hlavní autoři: | , |
|---|---|
| Médium: | Working paper |
| Vydáno: |
University of Oxford
2007
|