Search Results - subject:"artificial regression"

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

Heteroskedasticity-robust tests for structural change

MacKinnon, James G. - Economics Department, Queen's University - 1988

Persistent link: https://www.econbiz.de/10005490243

Specification Tests Based on Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 1988

Persistent link: https://www.econbiz.de/10005688372

Double-Length Artificial Regressions

Davidson, Russell; MacKinnon, James G. - 1987

the artificial regression is twice the actual number of observations. These double-length regressions can be useful in a …

Persistent link: https://www.econbiz.de/10011940427

Double-Length Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 1987

the artificial regression is twice the actual number of observations. These double-length regressions can be useful in a …

Persistent link: https://www.econbiz.de/10005787862

Specification tests in panel data models using artificial regressions

Baltagi, Badi H. - In: Annales d'économie et de statistique (1999), pp. 277-297

Persistent link: https://www.econbiz.de/10001566505

Efficient score tests for heteroskedasticity in micro-econometrics

Orme, Chris D. - In: Econometric reviews 11 (1992) 2, pp. 235-252

Persistent link: https://www.econbiz.de/10001128474

Testing for the Transformation of the Dependent Variable

MacKinnon, James G.; Magee, Lonnie - Economics Department, Queen's University - 1986

been applied to it. One form is based on the double length artificial regression, the other on the outer product of the … gradient artificial regression. These tests turn out to be closely related to one version of the well-known RESET test; the …

Persistent link: https://www.econbiz.de/10005688454