Omitted Variable Tests and Dynamic Specification: An Application to Demand Homogeneity - Tapa blanda

Sinopsis

Introduction.- The t-statistic under dynamic misspecification.- The model.- Properties of the estimators.- The distribution of the quasi t-statistic.- Invariance results.- Monte Carlo experimentation.- Consumer theory and the Rotterdam model.- Commodity space and budget set.- Preferences, direct utility function and Marshallian demand.- Cost function and Hicksian demand.- The Rotterdam model.- The Rotterdam model in matrix form.- Robust estimation.- Quasi-maximum likelihood estimation.- Estimation of the covariance matrix of the quasi-maximum likelihood estimator.- Testing for homogeneity.- Anderson`s U test if the errors are time-independent (LRU).- Functional equivalence between the LRU and Laitinen`s statistic.- Likelihood ratio test if the errors are VAR(p).- The asymptotic distribution of the LRU statistic under dynamic misspecification.- The robust Wald test.- Summary.- Monte Carlo experimentation.- Data.- The data-generating process.- Experiments.- Simulation results.- Conclusions.

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