The Lagrange Multiplier Test and Its Applications to Model Specification
Title | The Lagrange Multiplier Test and Its Applications to Model Specification PDF eBook |
Author | Trevor Stanley Breusch |
Publisher | |
Pages | 52 |
Release | 1978 |
Genre | Statistical hypothesis testing |
ISBN | 9780909541552 |
The Lagrange multiplier test and its applications to model specification in econometrics
Title | The Lagrange multiplier test and its applications to model specification in econometrics PDF eBook |
Author | T. S. Breusch |
Publisher | |
Pages | 35 |
Release | 1978 |
Genre | |
ISBN |
Misspecification Tests in Econometrics
Title | Misspecification Tests in Econometrics PDF eBook |
Author | L. G. Godfrey |
Publisher | Cambridge University Press |
Pages | 276 |
Release | 1988 |
Genre | Business & Economics |
ISBN | 9780521424592 |
Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Specification Analysis in the Linear Model
Title | Specification Analysis in the Linear Model PDF eBook |
Author | Maxwell L. King |
Publisher | Routledge |
Pages | 550 |
Release | 2018-03-05 |
Genre | Business & Economics |
ISBN | 1351140663 |
Originally published in 1987. This collection of original papers deals with various issues of specification in the context of the linear statistical model. The volume honours the early econometric work of Donald Cochrane, late Dean of Economics and Politics at Monash University in Australia. The chapters focus on problems associated with autocorrelation of the error term in the linear regression model and include appraisals of early work on this topic by Cochrane and Orcutt. The book includes an extensive survey of autocorrelation tests; some exact finite-sample tests; and some issues in preliminary test estimation. A wide range of other specification issues is discussed, including the implications of random regressors for Bayesian prediction; modelling with joint conditional probability functions; and results from duality theory. There is a major survey chapter dealing with specification tests for non-nested models, and some of the applications discussed by the contributors deal with the British National Accounts and with Australian financial and housing markets.
Advances in Econometrics: Volume 1
Title | Advances in Econometrics: Volume 1 PDF eBook |
Author | Truman F. Bewley |
Publisher | Cambridge University Press |
Pages | 332 |
Release | 1994-06-24 |
Genre | Business & Economics |
ISBN | 9780521467261 |
With its focus on econometrics, this volume contains key papers delivered at the Fifth World Congress in 1985.
A Companion to Theoretical Econometrics
Title | A Companion to Theoretical Econometrics PDF eBook |
Author | Badi H. Baltagi |
Publisher | John Wiley & Sons |
Pages | 736 |
Release | 2008-04-15 |
Genre | Business & Economics |
ISBN | 047099830X |
A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
New Directions in Spatial Econometrics
Title | New Directions in Spatial Econometrics PDF eBook |
Author | Luc Anselin |
Publisher | Springer Science & Business Media |
Pages | 432 |
Release | 2012-12-06 |
Genre | Business & Economics |
ISBN | 3642798772 |
The promising new directions for research and applications described here include alternative model specifications, estimators and tests for regression models and new perspectives on dealing with spatial effects in models with limited dependent variables and space-time data.