Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: testing non-linearity


From   "Millimet, Daniel" <[email protected]>
To   <[email protected]>
Subject   st: RE: testing non-linearity
Date   Thu, 1 May 2003 08:45:45 -0500

For what it's worth, the only things I am aware of that one can do
easily in STATA is the box-cox transformation (-boxcox-) and/or try
adding polynomial terms and testing their joint significance.  The most
robust test, again that I am aware of, would entail estimating a
parametric model and something like a semiparametric partially linear
regression model and doing a specification test to see if you reject the
parametric model (see, e.g., the paper on my web cite with List and
Stengos, forthcoming in Rev of Eco and Statistics).

Dann

----------------------------------------------------------
Daniel L. Millimet, Assistant Professor
Department of Economics
Box 0496
SMU
Dallas, TX 75275-0496
Phone: 214.768.3269
Fax:      214.768.1821
http://faculty.smu.edu/millimet
----------------------------------------------------------

> -----Original Message-----
> From: Mwale, McDonald [mailto:[email protected]]
> Sent: Thursday, May 01, 2003 6:16 AM
> To: [email protected]
> Subject: st: testing non-linearity
>
> Dear statalisters
>
> I am Using Stata 7. How do I test whether the relationship  between
the
> dependent variable and the independent variable is linear or
non-linear. I
> stand to be corrected but I think "testnl" in stata tests
relationships
> between the independent variables only. One idea that I have is to
include
> the square of the independent variable in the model specification and
see
> if
> it takes a different sign from its level. The questions: (a) can this
be
> reliable (b) is there any robust test. Thanks for reading.
>
> Macdonald
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index