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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).


Daniel L. Millimet, Assistant Professor
Department of Economics
Box 0496
Dallas, TX 75275-0496
Phone: 214.768.3269
Fax:      214.768.1821

> -----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
> dependent variable and the independent variable is linear or
non-linear. I
> stand to be corrected but I think "testnl" in stata tests
> between the independent variables only. One idea that I have is to
> the square of the independent variable in the model specification and
> if
> it takes a different sign from its level. The questions: (a) can this
> reliable (b) is there any robust test. Thanks for reading.
> Macdonald
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