Econometrica: Jul 1975, Volume 43, Issue 4

Testing the Error Specification in Nonlinear Regression

https://doi.org/0012-9682(197507)43:4<719:TTESIN>2.0.CO;2-Y
p. 719-725

Dennis Leech

This paper deals with the question of appropriately specifying the error structure in equations nonlinear in the parameters. An approach is presented which nests various disparate hypotheses (including those of additive normal and multiplicative lognormal error distributions) and suggests an approximate testing procedure. An example is given in which the method is applied in the context of estimating an aggregate production function for the U.S..R.

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