Model Misspecification Tests Of Regression Functions

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Model Misspecification Tests Of Regression Functions

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Author : Kiho Jeong
language : en
Publisher:
Release Date : 1991

Model Misspecification Tests Of Regression Functions written by Kiho Jeong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.

The Implementation And Constructive Use Of Misspecification Tests In Econometrics

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Author : L. G. Godfrey
language : en
Publisher: Manchester University Press
Release Date : 1992

The Implementation And Constructive Use Of Misspecification Tests In Econometrics written by L. G. Godfrey and has been published by Manchester University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Econometrics categories.

This is a collection of papers co-authored by members of the Department of Economics and Related Studies and the Institute for Research in the Social Sciences at the University of York, which deals with methods for calculating asymptotically valid tests for use with samples of the size available in empirical economics. The papers also address the scope for using test statistics to determine the nature of specification errors and for providing suitable corrections to estimates or parameters.

Misspecification Tests In Econometrics

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Author : L. G. Godfrey
language : en
Publisher: Cambridge University Press
Release Date : 1988

Misspecification Tests In Econometrics written by L. G. Godfrey and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business & Economics categories.

Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

Omitted Variables And Misspecification Testing Using Auxiliary Regressions

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Author : Aris Spanos
language : en
Publisher:
Release Date : 1985

Omitted Variables And Misspecification Testing Using Auxiliary Regressions written by Aris Spanos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.

The Linear Regression Model Under Test

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Author : W. Kraemer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

The Linear Regression Model Under Test written by W. Kraemer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

This monograph grew out of joint work with various dedicated colleagues and students at the Vienna Institute for Advanced Studies. We would probably never have begun without the impetus of Johann Maurer, who for some time was the spiritus rector behind the Institute's macromodel of the Austrian economy. Manfred Deistler provided sustained stimulation for our research through many discussions in his econometric research seminar. Similar credits are due to Adrian Pagan, Roberto Mariano and Garry Phillips, the econometrics guest professors at the Institute in the 1982 - 1984 period, who through their lectures and advice have contributed greatly to our effort. Hans SchneeweiB offered helpful comments on an earlier version of the manuscript, and Benedikt Poetscher was always willing to lend a helping . hand when we had trouble with the mathematics of the tests. Needless to say that any errors are our own. Much of the programming for the tests and for the Monte Carlo experiments was done by Petr Havlik, Karl Kontrus and Raimund Alt. Without their assistance, our research project would have been impossible. Petr Havlik and Karl Kontrus in addition. read and criticized portions of the manuscript, and were of great help in reducing our error rate. Many of the more theoretical results in this monograph would never have come to light without the mathematical expertise of Werner Ploberger, who provided most of the statistical background of the chapter on testing for structural change . .

Misspecification Analysis

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Author : Theo K. Dijkstra
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Misspecification Analysis written by Theo K. Dijkstra and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Information Matrices In Estimating Function Approach

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Author : Qian Zhou
language : en
Publisher:
Release Date : 2009

Information Matrices In Estimating Function Approach written by Qian Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

Estimating functions have been widely used for parameter estimation in various statistical problems. Regular estimating functions produce parameter estimators which have desirable properties, such as consistency and asymptotic normality. In quasi-likelihood inference, an important example of estimating functions, correct specification of the first two moments of the underlying distribution leads to the information unbiasedness, which states that two forms of the information matrix: the negative sensitivity matrix (negative expectation of the first order derivative of an estimating function) and the variability matrix (variance of an estimating function) are equal, or in other words, the analogue of the Fisher information is equivalent to the Godambe information. Consequently, the information unbiasedness indicates that the model-based covariance matrix estimator and sandwich covariance matrix estimator are equivalent. By comparing the model-based and sandwich variance estimators, we propose information ratio (IR) statistics for testing model misspecification of variance/covariance structure under correctly specified mean structure, in the context of linear regression models, generalized linear regression models and generalized estimating equations. Asymptotic properties of the IR statistics are discussed. In addition, through intensive simulation studies, we show that the IR statistics are powerful in various applications: test for heteroscedasticity in linear regression models, test for overdispersion in count data, and test for misspecified variance function and/or misspecified working correlation structure. Moreover, the IR statistics appear more powerful than the classical information matrix test proposed by White (1982). In the literature, model selection criteria have been intensively discussed, but almost all of them target choosing the optimal mean structure. In this thesis, two model selection procedures are proposed for selecting the optimal variance/covariance structure among a collection of candidate structures.

Using Sample Survey Weights To Test For Misspecification In A Linear Regression Model

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Author : William H. DuMouchel
language : en
Publisher:
Release Date : 1976

Using Sample Survey Weights To Test For Misspecification In A Linear Regression Model written by William H. DuMouchel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Regression analysis categories.

Linearity And Misspecification Tests For Vector Smooth Transition Regression Models

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Author : Timo Teräsvirta
language : en
Publisher:
Release Date : 2014

Linearity And Misspecification Tests For Vector Smooth Transition Regression Models written by Timo Teräsvirta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Regression Analysis Of Count Data

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Author : A. Colin Cameron
language : en
Publisher: Cambridge University Press
Release Date : 1998-09-28

Regression Analysis Of Count Data written by A. Colin Cameron and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-09-28 with Business & Economics categories.

This analysis provides a comprehensive account of models and methods to interpret frequency data.