Search Results - subject:"artificial regression"

A note on specification testing in some structural regression models

Beckert, Walter - 2019

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...

Persistent link: https://www.econbiz.de/10012146374

A note on specification testing in some structural regression models

Beckert, Walter - 2019

Persistent link: https://www.econbiz.de/10012008229

A note on specification testing in some structural regression models

Beckert, Walter - 2018

Persistent link: https://www.econbiz.de/10011937341

The convenient calculation of some test statistics in models of discrete choice

Holden, Darryl; Perman, Roger - Economics Department, University of Strathclyde - 2014

The paper considers the use of artiï¬cial regression in calculating diï¬€erent types of score test when the logâˆ'likelihood is based on probabilities rather than densities. The calculation of the information matrix test is also considered. Results are specialised to deal with binary...

Persistent link: https://www.econbiz.de/10010942734

A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

Wilde, Joachim - 2007

The inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore,...

Persistent link: https://www.econbiz.de/10010269965

A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

Wilde, Joachim - Institut für Wirtschaftsforschung Halle (IWH) - 2007

, normality assumption, artificial regression JEL Classification: C25 Zusammenfassung Die statistische Inferenz in … assume more specific distributions (e.g. Silva 2001). The representation is based on an artificial regression which was …-called standardized residual of the probit estimation (cf. Wooldridge 2002, p. 462). An alternative artificial regression is based on a …

Persistent link: https://www.econbiz.de/10005232580

Artificial regressions

Davidson, Russell; MacKinnon, James - 2001

artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful … are discussed and are shown to satisfy the defining conditions, and a new artificial regression for regression models with …

Persistent link: https://www.econbiz.de/10010290410

Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2001

Persistent link: https://www.econbiz.de/10005653239

Specification Tests Based on Artificial Regressions

Davidson, Russell; MacKinnon, James G. - 1988

Many specification tests can be computed by means of artificial linear regressions. These are linear regressions designed to be used as calculating devices to obtain test statistics and other quantities of interest. In this paper, we discuss the general principles which underlie all artificial...

Persistent link: https://www.econbiz.de/10011940428

Heteroskedasticity-robust tests for structural change

MacKinnon, James G. - 1988

It is remarkably easy to test for structural change, of the type that the classic F or "Chow" test is designed to detect, in a manner that is robust to heteroskedasticity of possibly unknown form. This paper first discusses how to test for structural change in nonlinear regression models by...

Persistent link: https://www.econbiz.de/10011940429