Testing For Misspecification In Econometric Systems Using Full Information
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Testing For Misspecification In Econometric Systems Using Full Information
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Author : Raymond Peter Byron
language : en
Publisher:
Release Date : 1971
Testing For Misspecification In Econometric Systems Using Full Information written by Raymond Peter Byron and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Economics, Mathematical 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.
Testing For Misspecification In Large Scale Simultaneous Econometric Models
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Author : J. A. Longbottom
language : en
Publisher:
Release Date : 1983
Testing For Misspecification In Large Scale Simultaneous Econometric Models written by J. A. Longbottom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Economics categories.
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.
Tests Of Misspecification Using Locally Equivalent Alternative Models
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Author : L. G. Godfrey
language : en
Publisher:
Release Date : 1980
Tests Of Misspecification Using Locally Equivalent Alternative Models written by L. G. Godfrey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with categories.
Studies In Econometrics Time Series And Multivariate Statistics
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Author : Samuel Karlin
language : en
Publisher: Academic Press
Release Date : 2014-05-10
Studies In Econometrics Time Series And Multivariate Statistics written by Samuel Karlin and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Business & Economics categories.
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Omitted Variable Tests And Dynamic Specification
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Author : Björn Schmolck
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Omitted Variable Tests And Dynamic Specification written by Björn Schmolck 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.
This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with the univariate t-test and is then extended to the multivariate regression system. The small sample performance of the dynamically correctly specified omitted variable test is analysed by simulation. Two classes of tests are considered: versions of the likelihood ratio test and the robust Wald test which is based on a heteroskedasticity and autocorrelation consistent variance-covariance estimator (HAC).
On Model Uncertainty And Its Statistical Implications
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Author : Theo K. Dijkstra
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
On Model Uncertainty And Its Statistical Implications 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 Mathematics categories.
In this book problems related to the choice of models in such diverse fields as regression, covariance structure, time series analysis and multinomial experiments are discussed. The emphasis is on the statistical implications for model assessment when the assessment is done with the same data that generated the model. This is a problem of long standing, notorious for its difficulty. Some contributors discuss this problem in an illuminating way. Others, and this is a truly novel feature, investigate systematically whether sample re-use methods like the bootstrap can be used to assess the quality of estimators or predictors in a reliable way given the initial model uncertainty. The book should prove to be valuable for advanced practitioners and statistical methodologists alike.