The linear regression model under test:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg [u.a.]
Physica-Verl.
1986
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 189 S. graph. Darst. |
| ISBN: | 3790803561 |
Internformat
MARC
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| 100 | 1 | |a Krämer, Walter |d 1948- |e Verfasser |0 (DE-588)121386767 |4 aut | |
| 245 | 1 | 0 | |a The linear regression model under test |c Walter Krämer ; Harald Sonnberger |
| 264 | 1 | |a Heidelberg [u.a.] |b Physica-Verl. |c 1986 | |
| 300 | |a IX, 189 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Analyse de régression |2 ram | |
| 650 | 4 | |a Programme | |
| 650 | 4 | |a Régression | |
| 650 | 4 | |a Table statistique | |
| 650 | 4 | |a Test | |
| 650 | 4 | |a Regression analysis | |
| 650 | 0 | 7 | |a Lineares Regressionsmodell |0 (DE-588)4127971-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Regressionsanalyse |0 (DE-588)4129903-6 |2 gnd |9 rswk-swf |
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| 700 | 1 | |a Sonnberger, Harald |e Verfasser |0 (DE-588)170323730 |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-000770276 | ||
Datensatz im Suchindex
| _version_ | 1804115669593096192 |
|---|---|
| adam_text | CONTENTS
page
1. INTRODUCTION 1
2. TECHNICAL PRELIMINARIES 3
a) The Linear Regression Model 3
Notation and assumptions 3
Regression residuals 5
b) LR , Wald and LM Tests 7
Basic principles 8
A simple example 10
Estimating the information matrix 13
c) Miscellaneous Terminology 14
3. TESTING DISTURBANCES 17
a) Autocorrelation 17
The Durbin Watson test 17
The power of the Durbin Watson test 19
The DW inconclusive region. 24
Relationship to the LM principle 25
Dynamic regressions 27
Simultaneous equations 30
Other alternatives to the DW test 31
b) Heteroskedasticity 32
Comparing empirical variances 32
A general LM test 35
Testing for arbitrary heteroskedasticity 38
c) Normality . 40
Comparing moments 40
Residuals vs. true disturbances 42
4. TESTING REGRESSORS 43
a) Structural Change 43
The Chow test and related methods 44
Testing subsets of the regression coefficients 45
Coefficient stability vs. stability of the variance. 46
VIII
Shift point unknown 48
The CUSUM and CUSUM of squares tests 49
The CUSUM and CUSUM of squares tests with dummy
exogenous variables 54
Alternatives to the CUSUM and CUSUM of squares tests 56
The Fluctuation test 59
Local power 62
A Monte Carlo comparison of the CUSUM and Fluctuation tests 64
Dynamic models 70
A modification of the CUSUM test 74
A modification of the CUSUM of squares test 75
b) Functional Form 78
Ramsey s RESET 79
The Rainbow test 80
Convex or concave alternatives 81
Linear vs. log linear functional form 83
Outliers 84
c) General Misspecification 85
Hausman type specification tests 85
Errors in variables 87
Computing the Hausman test 88
Exogeneity 92
A Hausman test with trending data 95
Hausman tests versus classical tests 97
The differencing test 101
First differences as an IV estimator 103
The information matrix test 105
5. UNIFYING THEMES Ill
a) Variable Transformation Ill
Linear transformations Ill
Examples 113
Relationship to IV estimation 115
b) Variable Addition 116
Data transformation tests as RESETs 116
Hausman tests as RESETs 118
Power comparisons 119
Asymptotic independence 120
6. DIAGNOSTIC CHECKING IN PRACTICE 123
a) Empirical Results 123
Demand for money 124
Currency substitution 128
IX
Bond yield 133
Growth of money supply 137
The Value of stocks 140
Wages 142
Unemployment 144
Discussion 146
b) Issues in Multiple Testing 147
Controlling the size 147
Ruger s test 148
Global vs. multiple significance level 150
Holm s procedure 152
Robustness 154
Further reading 155
APPENDIX 157
a) Sample Data 158
b) The IAS SYSTEM 168
REFERENCES 173
AUTHOR INDEX 185
SUBJECT INDEX 188
|
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| author | Krämer, Walter 1948- Sonnberger, Harald |
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| building | Verbundindex |
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| callnumber-raw | QA278.2.K73 1986 |
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| dewey-full | 519/.5/3619 519/.5/36 |
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| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-search | 519/.5/36 19 519/.5/36 |
| dewey-sort | 3519 15 236 219 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV001277506 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T15:26:17Z |
| institution | BVB |
| isbn | 3790803561 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-000770276 |
| oclc_num | 15743083 |
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| physical | IX, 189 S. graph. Darst. |
| publishDate | 1986 |
| publishDateSearch | 1986 |
| publishDateSort | 1986 |
| publisher | Physica-Verl. |
| record_format | marc |
| spelling | Krämer, Walter 1948- Verfasser (DE-588)121386767 aut The linear regression model under test Walter Krämer ; Harald Sonnberger Heidelberg [u.a.] Physica-Verl. 1986 IX, 189 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Analyse de régression ram Programme Régression Table statistique Test Regression analysis Lineares Regressionsmodell (DE-588)4127971-2 gnd rswk-swf Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Regressionsanalyse (DE-588)4129903-6 s DE-604 Lineares Regressionsmodell (DE-588)4127971-2 s Sonnberger, Harald Verfasser (DE-588)170323730 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000770276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Krämer, Walter 1948- Sonnberger, Harald The linear regression model under test Analyse de régression ram Programme Régression Table statistique Test Regression analysis Lineares Regressionsmodell (DE-588)4127971-2 gnd Regressionsanalyse (DE-588)4129903-6 gnd |
| subject_GND | (DE-588)4127971-2 (DE-588)4129903-6 |
| title | The linear regression model under test |
| title_auth | The linear regression model under test |
| title_exact_search | The linear regression model under test |
| title_full | The linear regression model under test Walter Krämer ; Harald Sonnberger |
| title_fullStr | The linear regression model under test Walter Krämer ; Harald Sonnberger |
| title_full_unstemmed | The linear regression model under test Walter Krämer ; Harald Sonnberger |
| title_short | The linear regression model under test |
| title_sort | the linear regression model under test |
| topic | Analyse de régression ram Programme Régression Table statistique Test Regression analysis Lineares Regressionsmodell (DE-588)4127971-2 gnd Regressionsanalyse (DE-588)4129903-6 gnd |
| topic_facet | Analyse de régression Programme Régression Table statistique Test Regression analysis Lineares Regressionsmodell Regressionsanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000770276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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