Testing for Consistency using Artificial Regressions
نویسندگان
چکیده
منابع مشابه
Testing for Consistency Using Artificial Regressions
We consider several issues related to Durbin-Wu-Hausman tests, that is tests based on the comparison of two sets of parameter estimates. We first review a number of results about these tests in linear regression models, discuss what determines their power, and propose a simple way to improve power in certain cases. We then show how in a general nonlinear setting they may be computed as “score” ...
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Associated with every popular nonlinear estimation method is at least one “artificial” linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful for numerical optimization, testing hypotheses, and computing parameter estimates. Several existing artificial regressions are discussed and are shown ...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 1989
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466600012573