Arbeitspapier
Testing the Specification of Econometric Models in Regression and Non-Regression Directions
The asymptotic power of a statistical test depends on the model being tested, the (implicit) alternative against which the test is constructed, and the process which actually generated the data. The exact way in which it does so is examined for several classes of models and tests. First, we analyze the power of tests of nonlinear regression models in regression directions. Next, we consider the power of heteroskedasticity-robust variants of these tests. Finally, we examine the power of very general tests in the context of a very general class of models.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 642
- Klassifikation
-
Wirtschaft
- Thema
-
power
specification test
heteroskedasticity-robust test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Davidson, Russell
MacKinnon, James G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1986
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 1986
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