Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
| Data(s) |
22/09/2006
22/09/2006
1998
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| Resumo |
In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for possibly non-linear hypotheses on the coefficients of MLR and SURE systems. |
| Formato |
1111716 bytes application/pdf |
| Identificador |
DUFOUR, Jean-Marie et KHALAF, Lynda, «Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions», Cahier de recherche #9813, Département de sciences économiques, Université de Montréal, 1998, 32 pages. |
| Relação |
Cahier de recherche #9813 |
| Palavras-Chave | #[JEL:C20] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - General #[JEL:C21] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Cross-Sectional Models; Spatial Models; Treatment Effect Models #[JEL:C40] Mathematical and Quantitative Methods - Econometric and Statistical Methods: Special Topics - General #[JEL:C20] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Généralités #[JEL:C21] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Modèles de coupes instantanées #[JEL:C40] Mathématiques et méthodes quantitatives - Méthodes statistiques et économétriques: sujets spéciaux - Généralités |
| Tipo |
Article |
