[Gretl-users] Re: split dependent variable: looking for a test
Am 01.12.2020 um 16:09 schrieb Summers, Peter:
Hi Allin,
Your logic sounds similar to that of the PE Test (MacKinnon, White & Davidson, 1983,
J of Econometrics) for comparing models with y vs log(y). I hadn't heard about it
until a couple weeks ago while I was teaching about LM tests. Here's a link to the R
petest() function:
https://www.rdocumentation.org/packages/lmtest/versions/0.9-38/topics/petest.
Hi, such a test is also available in gretl as part of the contributed
package BoxCoxFuncForm, me being a coauthor there. The reference we have
included in the helpt text is:
Testing Linear and Loglinear Regressions against Box-Cox Alternatives
Author(s): Russell Davidson and James G. MacKinnon
Source: The Canadian Journal of Economics / Revue canadienne
d'Economique,
Vol. 18, No. 3 (Aug., 1985), pp. 499-517
Stable URL: https://www.jstor.org/stable/135016
However, I'm not sure if that is what Allin was asking for.
cheers
sven