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Friday, April 24, 2020 | History

2 edition of Autocorrelated disturbances in the light of specification analysis found in the catalog.

Autocorrelated disturbances in the light of specification analysis

Gupta, Y. P.

Autocorrelated disturbances in the light of specification analysis

a comment

by Gupta, Y. P.

  • 38 Want to read
  • 26 Currently reading

Published by Københavns universitets økonomiske institut in København .
Written in English

    Subjects:
  • Regression analysis.,
  • Autocorrelation (Statistics),
  • Estimation theory.

  • Edition Notes

    Includes bibliographical references.

    StatementY. P. Gupta.
    SeriesMemo - Københavns universitets økonomiske institut ; nr. 57, Memo (Københavns universitet. Økonomiske institut) ;, nr. 57.
    Classifications
    LC ClassificationsQA278.2 .G86
    The Physical Object
    Pagination6 p. :
    ID Numbers
    Open LibraryOL4490152M
    LC Control Number79319773

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Autocorrelated disturbances in the light of specification analysis by Gupta, Y. P. Download PDF EPUB FB2

Abstract. In economic applications, the presence of autocorrelation in the residuals is often the result of a mis-specification of the underlying model (1).One important form of mis-specification occurs when the true model is dynamic and the investigator wrongly assumes that it is by: 1. Autocorrelation analysis is used heavily in fluorescence correlation spectroscopy to provide quantitative insight into molecular-level diffusion and chemical reactions.

[14] Another application of autocorrelation is the measurement of optical spectra and the measurement of very-short-duration light pulses produced by lasers, both using optical. This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first masters, to a PhD course.

Explains what is going on in textbooks full of proofs and formulas Offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts) Contains new chapters that cover instrumental variables and computational.

panel data analysis, where each equation stands fo r a period and the correlation across periods is in a general form with the assum ption that the data is a short panel (i.e., T is small compared to.

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Conducting Interrupted Time-series Analysis for Single- and Multiple-group Comparisons Article (PDF Available) in Stata Journal 15(2) June Author: Ariel Linden. Hatanaka, M. () "Several Efficient Two-Step Estimators for the Dynamic Simultaneous Equation Model with Autocorrelated Disturbances", Journal of Econometrics, 4, Hausman, J.

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Quantitative political scientists often worry about model selection and specification, asking questions about parameter identification, autocorrelated or heteroscedastic disturbances, parameter constancy, variable choice, measurement error, endogeneity, functional forms, stochastic assumptions, and selection bias, among numerous others.

If there are autocorrelated disturbances, then lagged endogenous variables ought not to be treated as predeter- mined. The other principal reason is a rather different one. If the model is at all large (especially if lagged endogenous variables are treated as predetermined), then A, the number of predetermined variables may be larjre.

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The need to use autocorrelated shocks could alternatively indicate that the propagation model is dynamically misspecified. McCulloch () notes that if the Monte Carlo hypothesis is true then the probability of a reversal in a given month is independent of the last turning point.

Using as data NBER reference cycle turning points, McCulloch. More importantly this approach implicitly rejects, through the use of an overly restrictive specification, endogenous cycles in favor of stochastic cycles. In this light, the purpose of this paper is to justify and apply an alternative, more general, estimation framework that includes DS, TS and endogenous cycles as nested alternatives.

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A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. In this article, we propose a new empirical version of the Fama and French (F&F) model based on a new version of the Hausman () specification test.

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As expected, there is high first-order autocorrelation, and no evidence for significant second-order autocorrelation. These test statistics imply a proper specification. In later chapters the statistical specification of these characteristics and the related terminology (such as "homoskedasticity" and "autocorrelated errors") are explained in considerable detail.

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A specification search can be used for simplification,as well as for estimation and sensitivity analysis. the very prevalent confusion among these three kinds of searches ought to be eliminated since the rules for a search and measures of its success will properly depend on its intent.

Again, Peter Kennedy gave following summarization.