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|a 10.1007/978-3-642-58324-7
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|a Schmolck, Björn.
|e author.
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| 245 |
1 |
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|a Omitted Variable Tests and Dynamic Specification
|h [electronic resource] :
|b An Application to Demand Homogeneity /
|c by Björn Schmolck.
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| 250 |
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|a 1st ed. 2000.
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| 264 |
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1 |
|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg :
|b Imprint: Springer,
|c 2000.
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| 300 |
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|a X, 144 p. 17 illus.
|b online resource.
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| 490 |
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|a Lecture Notes in Economics and Mathematical Systems,
|x 0075-8442 ;
|v 488
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| 490 |
1 |
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|a Springer eBook Collection
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| 505 |
0 |
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|a 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.
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| 590 |
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|a Loaded electronically.
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|a Electronic access restricted to members of the Holy Cross Community.
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| 650 |
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|a Econometrics.
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| 650 |
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|a Microeconomics.
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| 650 |
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|a Probabilities.
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