Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks

摘要

Tests for regression neglected nonlinearity based on artificial neural net works (ANNs) have so far been studied by separately analyzing the two ways in which the null of regression linearity can hold. This implies that the asymptotic behavior of general ANN-based tests for neglected nonlinearity is still an open question. Here we analyze a convenient ANN-based quasi-likelihood ratio statistic for testing neglected nonlin earity, paying careful attention to both components of the null. We derive the asymptotic null distribution under each component separately and analyze their interaction. Somewhat remarkably, it turns out that the previously known asymptotic null distribution for the type 1 case still applies, but under somewhat stronger conditions than previously recog nized. We present Monte Carlo experiments corroborating our theoretical results and showing that standard methods can yield misleading infer ence when our new, stronger regularity conditions are violated.