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This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke’s assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...
Persistent link: https://www.econbiz.de/10014177659
approach, which can be used empirically to test for misspecification, is applied to a Mincer (1958, 1974) equation using data …
Persistent link: https://www.econbiz.de/10014123918
In many economic applications, the variate of interest is non-negative and its distribution is characterized by a mass-point at zero and a long right-tail. Many regression strategies have been proposed to deal with data of this type. Although there has been a long debate in the literature on the...
Persistent link: https://www.econbiz.de/10003990119
This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke's assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...
Persistent link: https://www.econbiz.de/10009580263
effects. The multidimensionality of spatial effects calls for misspecification tests and estimators that are notably different … review tools for exploratory spatial data analysis and misspecification tests for spatial effects in linear regress …
Persistent link: https://www.econbiz.de/10011334352
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012241853
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012109832
Structural break tests developed in the literature for regression models are sensitive to model misspecification. We …
Persistent link: https://www.econbiz.de/10012993223
Persistent link: https://www.econbiz.de/10010256888
Examples of real data for which various robust methods give rather different estimates of regression model are presented and the reasons of the phenomenon are outlined. Two examples of invented data which enlighten for which kind of data we may expect the diversity of estimates (yielded even -...
Persistent link: https://www.econbiz.de/10008473459