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Reverse Regression as a Test for Misspecification in Simultaneous Equation Models

Title data

Herz, Bernhard ; Röger, Werner:
Reverse Regression as a Test for Misspecification in Simultaneous Equation Models.
In: Allgemeines Statistisches Archiv. Vol. 81 (1997) Issue 2 . - pp. 207-213.
ISSN 1863-8171

Abstract in another language

A new specification test for single equations in a simultaneous equation model is introduced. The test is based on a comparison between estimates from alternative normalizations of the model. While normalization does not matter under correct specification, it is demonstrated in the paper that probability limits for the estimates of the structural coefficients will be different for alternative normalizations in the presence of misspecification. A simple test which exploits this feature is developed and some Monte Carlo experiments are performed in order to show the power properties of this test for realistic samples.

Further data

Item Type: Article in a journal
Refereed: Yes
Institutions of the University: Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I > Chair Economics I - Univ.-Prof. Dr. Bernhard Herz
Faculties
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
Date Deposited: 13 Apr 2015 09:10
Last Modified: 13 Apr 2015 09:10
URI: https://eref.uni-bayreuth.de/id/eprint/10166