Omitted Variable Tests and Dynamic Specification

Inhaltsverzeichnis

• 1. Introduction.
• 2. The t-statistic under dynamic misspecification.
• 2.1 The model.
• 2.2 Properties of the estimators ?.
• 2.3 The distribution of the quasi t-statistic.
• 2.4 Invariance results.
• 2.5 Monte Carlo experimentation.
• 3. Consumer theory and the Rotterdam model.
• 3.1 Commodity space and budget set.
• 3.2 Preferences, direct utility function and Marshallian demand.
• 3.3 Cost function and Hicksian demand.
• 3.4 The Rotterdam model.
• 3.5 The Rotterdam model in matrix form.
• 4. Robust estimation.
• 4.1 Quasi-maximum likelihood estimation.
• 4.2 Estimation of the covariance matrix of the quasi-maximum likelihood estimator.
• 5. Testing for homogeneity.
• 5.1 Anderson’s U test if the errors are time-independent (LRU).
• 5.2 Functional equivalence between the LRU and Laitinen’s statistic.
• 5.3 Likelihood ratio test if the errors are VAR(p).
• 5.4 The distribution of the LRU statistic under dynamic misspecification.
• 5.5 The robust Wald test.
• 5.6 Summary.
• 6. Monte Carlo experimentation.
• 6.1 Data.
• 6.2 The data-generating process.
• 6.3 Experiments.
• 6.4 Simulation results.
• 7. Conclusions.
• A. Proof of proposition 5.4.
• B. Data.
• C. Values of the population parameters.
• D. Algorithm for the MA(1) parameters.
• List of Figures.
• List of Tables.