Testing for linearity in simple regression models

摘要

In this paper a new test is introduced which checks the linearity assumption in bivariate regression models. It is based on the idea that the slope through the data points (x_i,y_i) and (x_j,y_j) should be approximately equal to the slope through the data points (x_j,y_j) and (x_k,y_k) for x_i< x_j< x_k under the assumption that the random variable Y is a linear function of the independent variable x. This idea is formalized in a U-statistic on which the test for linearity is based. The test performs well for the considered case of power transformations, which is of high practical relevance.