Testing a Nonlinear Regression Specification: A Nonregular Case

(in Applications)

Testing a Nonlinear Regression Specification: A Nonregular Case

A. Ronald Gallant

Journal of the American Statistical Association, Vol. 72, No. 359. (Sep., 1977), pp. 523-530.

Abstract

A statistical test of whether an additive nonlinear term in the response function should be omitted from a nonlinear regression specification is considered. The regularity conditions used to obtain the asymptotic distributions of the customary test statistics are violated when the null hypothesis of omission is true. Moreover, standard iterative algorithms are likely to perform poorly when the data support the null hypothesis. Methods designed to circumvent these mathematical and computational difficulties are described and illustrated.

Keywords: Nonlinear regression, Hypothesis testing, Segmented regression