Omitted Variable Tests And Dynamic Specification

Omitted Variable Tests and Dynamic Specification

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).

Omitted Variable Tests and Dynamic Specification

Robustness Tests for Quantitative Research

This highly accessible book presents robustness testing as the methodology for conducting quantitative analyses in the presence of model uncertainty.