Narrow search
Showing 1 - 3 of 3
Cover Image
A Simple Asymptotic Analysis of Residual-Based Statistics
Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2003
-stage modelling procedure?This paper addresses the often occurring situation in econometrics of applying standard statistics to …
Persistent link: https://www.econbiz.de/10011091906
Cover Image
An Alternative Asymptotic Analysis of Residual-Based Statistics
Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2004
This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more … general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many … difficult to establish, e.g., rank-based statistics.We essentially replace this differentiability condition with a …
Persistent link: https://www.econbiz.de/10011092694
Cover Image
On Theil's Errors
Magnus, Jan R.; Sinha, A.K. - Tilburg University, Center for Economic Research - 2003
We take a fresh look at Theil's BLUS residuals and ask why they have gone out of fashion.All our simulation experiments indicate that tests based on BLUS residuals have higher power than those based on the more popular recursive residuals, even in those cases (structural breaks) where intuition...
Persistent link: https://www.econbiz.de/10011092941