Simulation based finite and large sample tests in multivariate regressions
نویسندگان
چکیده
منابع مشابه
Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models
In Multivariate Linear Regression (MLR) models, multi-equation diagnostic tests pose some problems not encountered in the analysis of univariate models. In particular, test size distortions grow quickly as the number of cross-equation correlations increases. Despite the widespread recognition of this problem, finite sample multivariate specification tests are rare. In this paper, we propose a g...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2002
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(02)00108-2