regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence …

, the Hamilton regression filter (HRF). His contribution was actually often read as a suggestion to replace the Hodrick …

dimensional datasets. Our proposed five-step procedure for regression outlier detection entails a robust selection stage of the … most explicative variables, the estimation of a robust regression model based on the selected variables, and a criterion to …

This paper shows through regression simulations that, when there are two highly collinear regressors, at least one of … increases. It can be used in most regression analyses. Unlike other tests it does not rely on lagged variables. I show the … regression, a test of whether subjects are actually randomly assigned in a randomized controled experiment, and a test of whether …

regressors. This paper shows that this often does not occur if the regression suffers from simultaneity or omitted variable bias …. I give several empirical examples of the test, including a test of causal assumptions in a Granger regression, a test of … in a two stage least square regression are endogenous …