The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Test of Linearity in Panel Regression Model

패널회귀모형에서 선형성검정

  • Published : 2003.09.01
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Abstract

This paper derives Lagrange multiplier tests based on Double-Length Artificial Regression and Outer-Product Gradient for testing linear and log-linear panel regressions against Box-Cox alternatives. The proposed DLR based LM tests are easy to implement in an error component model. From the Monte Carlo study, the DLR based LM tests are recommended for testing functiona forms.

본 논문에서는 오차성분을 가지는 패널회귀모형에서 모형의 선형성을 검정 할 수 있는 검 정통계량을 제시하고, 유도한 검정통계량의 계산을 위하여 인공회귀방법을 이용하려한다. 모의실험 결과, Double-Length Artificial Resression(DLR)을 이용한 LM 검정통계량은 명목유의 수준을 잘 유지하고 있는 것으로 나타났으며 검정력에 있어서도 기존의 검정에 비하여 높게 나타났다.

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References

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