A Monte Carlo Study of Some Small Sample Properties of Tests for Specification Error

Abstract Some tests for the specification errors of omitted variables, incorrect functional form, simultaneous equation problems, and heteroskedasticity previously developed by the author are further considered in this article. Monte Carlo methods are used to examine the statistical independence of the test statistics, the small sample power of the tests under various alternatives, and the effect on the tests of using ordinary least squares instead of Theil residuals.

[1]  R. F. Gilbert,et al.  Small Sample Properties of Alternative Estimators of Seemingly Unrelated Regressions , 1968 .

[2]  N. Smirnov.  Table for Estimating the Goodness of Fit of Empirical Distributions , 1948 .

[3]  S. Shapiro,et al.  An Analysis of Variance Test for Normality (Complete Samples) , 1965 .

[4]  J. B. Ramsey,et al.  Tests for Specification Errors in Classical Linear Least‐Squares Regression Analysis , 1969 .

[5]  Harvey M. Wagner,et al.  A Monte Carlo Study of Estimates of Simultaneous Linear Structural Equations , 1958 .

[6]  F. Massey,et al.  Introduction to Statistical Analysis , 1970 .

[7]  T. Donaldson.  Robustness of the F-Test to Errors of Both Kinds and the Correlation Between the Numerator and Denominator of the F-Ratio , 1968 .

[8]  T. Yancey,et al.  Corrigenda: Parameter Estimates and Autonomous Growth , 1959 .

[9]  Z. Birnbaum.  Numerical Tabulation of the Distribution of Kolmogorov's Statistic for Finite Sample Size , 1952 .

[10]  Irving W. Burr,et al.  On A General System of Distributions I. Its Curve-Shape Characteristics II. The Sample Median , 1968 .

[11]  H. Theil.  Specification Errors and the Estimation of Economic Relationships , 1957 .

[12]  I. W. Burr.  Cumulative Frequency Functions , 1942 .

[13]  H. Theil.  A Simplification of the BLUS Procedure for Analyzing Regression Disturbances , 1968 .

[14]  C. Craig.  A New Exposition and Chart for the Pearson System of Frequency Curves , 1936 .

[15]  A. L. Nagar.  A MONTE CARLO STUDY OF ALTERNATIVE SIMULTANEOUS EQUATION ESTIMATORSi , 1960 .

[16]  S. Shapiro,et al.  A Comparative Study of Various Tests for Normality , 1968 .

[17]  M. Kendall,et al.  The advanced theory of statistics , 1945 .

[18]  T. Yancey,et al.  Parameter Estimates and Autonomous Growth , 1959 .

[19]  G. Ladd.  Effects of Shocks and Errors in Estimation: An Empirical Comparison , 1956 .

[20]  Robert Summers,et al.  A Capital-Intensive Approach to the Small Sample Properties of Various Simultaneous Equation Estimators , 1965 .

[21]  J. G. Cragg,et al.  SOME EFFECTS OF INCORRECT SPECIFICATION ON THE SMALL-SAMPLE PROPERTIES OF SEVERAL SIMULTANEOUS-EQUATION ESTIMATORS" , 1968 .

[22]  James B. Ramsey,et al.  Specification Error Tests and Alternative Functional Forms of the Aggregate Production Function , 1971 .

[23]  Maurice G. Kendall,et al.  The advanced theory of statistics , 1945 .

[24]  J. Koerts.  Some Further Notes on Disturbance Estimates in Regression Analysis , 1967 .

[25]  J. G. Cragg.  On the Relative Small-Sample Properties of Several Structural-Equation Estimators , 1967 .

[26]  D. Darling.  The Kolmogorov-Smirnov, Cramer-von Mises Tests , 1957 .

[27]  R. Kronmal,et al.  The Estimation of Probability Densities and Cumulatives by Fourier Series Methods , 1968 .

[28]  H. Theil.  The Analysis of Disturbances in Regression Analysis , 1965 .