Omitted Variable Tests and Dynamic Specification: An Application to Demand Homogeneity: 488 (Lecture Notes in Economics and Mathematical Systems, 488) - Tapa blanda

Schmolck, Björn

 
9783540673583: Omitted Variable Tests and Dynamic Specification: An Application to Demand Homogeneity: 488 (Lecture Notes in Economics and Mathematical Systems, 488)
Tapa blanda
ISBN 10: 354067358X ISBN 13: 9783540673583
Editorial: Springer, 2000

Sinopsis

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. Additionally, I would like to thank Professor Dr. Reiner Wolff for his comments especially on the chapter dealing with consumer theory. Special thanks go to Maria Jose Redondo, who read this book several times and for the inspiring discussions with her. I would also like to thank Dr. Ali Vak­ ili (always ready to answer any questions in mathematics), Prof. Dr. Hans Wolf gang Brachinger, Curzio De Gottardi, Peter Mantsch, Dr. Paul-Andre Monney, Dr. Uwe Steinhauser, Leon Stroeks and Dr. Peter Windlin. Frances Angell improved the English of this work. The research for this book had been financially suppürted by the Univer­ site de Fribourg (Switzerland). Finally, I appreciated the support from Springer-Verlag and I thank Dr.

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Reseña del editor

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. Additionally, I would like to thank Professor Dr. Reiner Wolff for his comments especially on the chapter dealing with consumer theory. Special thanks go to Maria Jose Redondo, who read this book several times and for the inspiring discussions with her. I would also like to thank Dr. Ali Vak­ ili (always ready to answer any questions in mathematics), Prof. Dr. Hans Wolf gang Brachinger, Curzio De Gottardi, Peter Mantsch, Dr. Paul-Andre Monney, Dr. Uwe Steinhauser, Leon Stroeks and Dr. Peter Windlin. Frances Angell improved the English of this work. The research for this book had been financially suppürted by the Univer­ site de Fribourg (Switzerland). Finally, I appreciated the support from Springer-Verlag and I thank Dr.

Reseña del editor

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).

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Editorial
Springer
Año de publicación
2000
Idioma
Inglés
ISBN 10 
354067358X
ISBN 13 
9783540673583
Encuadernación
Tapa blanda
Número de páginas
160
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Alemania

Otras ediciones populares con el mismo título

9783642583254: Omitted Variable Tests and Dynamic Specification: An Application to Demand Homogeneity

Edición Destacada

ISBN 10:  3642583253 ISBN 13:  9783642583254
Editorial: Springer, 2011
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