Omitted Variable Tests and Dynamic Specification: An Application to Demand Homogeneity
Dr. Björn Schmolck (auth.)
This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with the univariate t-test and is then extended to the multivariate regression system. The small sample performance of the dynamically correctly specified omitted variable test is analysed by simulation. Two classes of tests are considered: versions of the likelihood ratio test and the robust Wald test which is based on a heteroskedasticity and autocorrelation consistent variance-covariance estimator (HAC).
Kategori:
Tahun:
2000
Edisi:
1
Penerbit:
Springer-Verlag Berlin Heidelberg
Bahasa:
english
Halaman:
144
ISBN 10:
3642583245
ISBN 13:
9783642583247
Nama siri:
Lecture Notes in Economics and Mathematical Systems 488
Fail:
PDF, 3.30 MB
IPFS:
,
english, 2000
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