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Saturday, July 11, 2020 | History

2 edition of A unified approach to robust, regression-based specification tests found in the catalog.

A unified approach to robust, regression-based specification tests

by Jeffrey M. Wooldridge

  • 161 Want to read
  • 15 Currently reading

Published by Massachusetts Institute of Technology in Cambridge, Mass .
Written in English


Edition Notes

Other titlesRobust, regression-based specification tests, a unified approach to.
StatementJeffrey M. Wooldridge
SeriesWorking paper / Department of Economics -- no. 480, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 480.
ContributionsMassachusetts Institute of Technology. Dept. of Economics
The Physical Object
Pagination45 p. ;
Number of Pages45
ID Numbers
Open LibraryOL24636716M
OCLC/WorldCa19403671

Notice, though, that moment conditions not used for estimation can always be tested using heavy tail robust methods (Hill and Aguilar, ), while a large variety of model specification tests can. A cross-sectional econometric model of airline fares is developed and presented to evaluate the possibility of oligopolistic fare coordination among the largest airlines. The model is estimated on Department of Transportation Origin and Destination Database 1A for the second calendar quarter of Statistical tests reject the hypothesis that fares are independent of the identity of the.

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 33 []: Convenient Specification Tests for Logit and Probit-Models, Journal of Econometrics,25, – CrossRef Google J.M. []: A Unified Approach to Robust, Regression-Based Specification Tests, Econometric Theory,6, 17– Wooldridge, J. M. () A unified approach to robust, regression-based specification tests, Econometric Theory 6, Google Scholar Wooldridge, J. M. () On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, J. Econometr

  L.G. Godfrey, C.D. OrmeSignificance levels of heteroskedasticity-robust tests for specification and misspecification: some results on the use of wild bootstraps J.M. WooldridgeA unified approach to robust, regression-based specification testing.   Wooldridge, J., , A unified approach to robust, regression-based specification tests, Econometric Theory 6, Wooldridge, J., , On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, Journal of Econometr 5 .


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A unified approach to robust, regression-based specification tests by Jeffrey M. Wooldridge Download PDF EPUB FB2

A UNIFIED APPROACH TO ROBUST, REGRESSION-BASED SPECIFICATION TESTS JEFFREY M. WOOLDRIDGE Massachusetts Institute of Technology This paper develops a general approach to robust, regression-based specifica-tion tests for (possibly).

workingpaper department ofeconomics AUNIFIEDAPPROACHTOROBUST,REGRESSION-BASED SPECIFICATIONTESTS idge No Revised November massachusetts instituteof technology 50memorialdrive Cambridge,mass AUNIFIEDAPPROACHTOROBUST,REGRESSION-BASED SPECIFICATIONTESTS* idge DepartmentofEconomics MassachusettsInstituteofTechnology,EC Cambridge,MA A unified approach A unified approach to robust robust, regression-based specification tests.

Author(s) Wooldridge, Jeffrey M. (Mb) A unified approach to robust, regression-based specification tests. Author(s) Wooldridge, Jeffrey M. (Mb)Cited by: An illustration of an open book. Books. An illustration of two cells of a film strip. Video. An illustration of an audio speaker.

Audio An illustration of a " floppy disk. A unified approach to robust, regression-based specification tests Item Preview remove-circle Share or Embed This : Abstract.

This paper develops a general approach to robust, regression-based specification tests for (possibly) dynamic econometric models. A useful feature of the proposed tests is that, in addition to estimation under the null hypothesis, computation requires only a matrix linear least-squares regression and then an ordinary least-squares regression similar to those employed in popular nonrobust tests.

This paper develops a general approach to robust, regression-based specification tests for (possibly) dynamic econometric models.

A useful feature of the proposed tests is that, in addition to estimation under the null hypothesis, computation requires only a matrix linear least-squares regression and then an ordinary least-squares regression similar to those employed in popular nonrobust tests.

A Unified Approach to Robust, Regression-Based Specification Tests. Jeffrey M. Woodridge. NoWorking papers from Massachusetts Institute of Technology (MIT), Department of Economics Date: References: View references in EconPapers View complete reference list from CitEc Citations: Track citations by RSS feed There are no downloads for this item, see the EconPapers FAQ for hints.

approach is however complicated if the estimator is inefficient under the null hypothesis. This paper provides a unified approach by which tests robust to the distribution of the estimators used can be constructed.

All that is required for the tests is √ T-consistency of the. Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link). A unified approach to robust, regression-based specification tests By Jeffrey M.

Wooldridge Publisher: Cambridge, MA: Dept. of Economics, Massachusetts Institute of Technology. A Unified Approach to Robust Regression-Based Specification Tests," (). An Interpretation of Recent Research on Exchange Rate Target Zones,".

A Unified Approach to Robust, Regression-Based Specification Tests; Jeffrey M. Wooldridge; Econometric Theory; Published online: 11 February Abstract In this paper, we propose a unified approach to generating standardized-residuals-based correlation tests for checking GARCH-type models.

This approach is valid in the presence of. " A Unified Approach to Robust, Regression-Based Specification Tests," Working papersMassachusetts Institute of Technology (MIT), Department of Economics. Ivan Korolev, " A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models," Papers, revised Nov A unified approach to robust, regression-based specification tests.

Econometric Theory 6 (): 17 – "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(1), pagesMarch. Carrasco, Marine & Florens, Jean-Pierre, " Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol.

16(6), pagesDecember. Robust conditional moment (RCM) tests for partial specifications are derived without a full specification assumption.

Yet, researchers usually claim the optimality of these RCM tests by reinterpreting them as score tests under certain full specifications.

This argument is in fact incompatible with the rationale of RCM tests. Book chapters; JEL classification; More features. Subscribe to new research Wooldridge, Jeffrey M., "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol.

6 "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society. Panel data methods for fractional introdjccin variables with an application to test pass rates LE Papke, JM Wooldridge Journal of Econometrics, Get my own profile Cited by View all All Since Citations h-index 58 45 iindex A unified approach to robust, regression-based specification tests JM Wooldridge Econometric Theory 6 1, What are we.

The book focuses specifically on cross section and panel data methods. Population assumptions are stated separately from sampling assumptions, leading to simple statements as well as to important insights.

The unified approach to linear and nonlinear models and to cross section and panel data enables straightforward coverage of more advanced.A unified approach to robust, regression-based specification tests,” ().

All in the family: Nesting symmetric and asymmetric GARCH models," ().We develop regression-based tests of hypotheses about out of sample prediction errors. Russell & MacKinnon, James G, "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University.