Psaradakis, Zacharias; Vávra, Marián - In: Economics Letters 125 (2014) 1, pp. 1-4
This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test...