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초록
This paper derives joint and conditional Lagrange multiplier tests based on infor-mation matrix for testing functional form and/or the presence of autocorrelation in aregression model. Small sample properties of these tests are assessed by Monte Carlostudy and comparisons are made with LM tests based on Hessian matrix. The resultsshow that the proposed LM E tests have the most appropriate nite sample perfor-mance.
키워드
Box-Cox regression model; model speci¯ cation; autocorrelation; LM tests.
- 제목
- 오차항이 AR(1)을 따르는 Box-Cox 변환 회귀모형에서 모형식별을 위한 검정
- 제목 (타언어)
- Test of Model Specification in Box-Cox Transformed Regression Model with AR(1) Errors
- 저자
- 전수영; 윤석진; 황선영; 송석헌
- 발행일
- 2008-04
- 저널명
- 응용통계연구
- 권
- 21
- 호
- 2
- 페이지
- 327 ~ 340