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Omitted Variable Tests and Dynamic Specification
Bjorn Schmolck
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Description for Omitted Variable Tests and Dynamic Specification
Paperback. This text 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. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 154 pages, 17 black & white illustrations, biography. BIC Classification: KCH; PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 8. Weight in Grams: 254.
This book deals with the omitted variable tests for a multivariate time-series regression model. What are the consequences of testing for the omission of a variable when the model is dynamically misspecified? What is the small sample bias of the omitted variable test when the model dynamics is correctly specificfied? The answers to these questions are proposed in this book. As an empirical illustration, the analysis is applied to the homogeneity test of a demand system. I particularly thank Professor Dr. Philippe J. Deschamps who draw my attention on this subject and who made very helpful comments and sugges- tions. ... Read more
This book deals with the omitted variable tests for a multivariate time-series regression model. What are the consequences of testing for the omission of a variable when the model is dynamically misspecified? What is the small sample bias of the omitted variable test when the model dynamics is correctly specificfied? The answers to these questions are proposed in this book. As an empirical illustration, the analysis is applied to the homogeneity test of a demand system. I particularly thank Professor Dr. Philippe J. Deschamps who draw my attention on this subject and who made very helpful comments and sugges- tions. ... Read more
Product Details
Format
Paperback
Publication date
2000
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
154
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
144
Place of Publication
Berlin, Germany
ISBN
9783540673583
SKU
V9783540673583
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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