Economics 508 Lecture 7 Introduction to Specification Testing in Dynamic
نویسنده
چکیده
In this lecture I want to briefly describe some techniques for evaluating dynamic econometric models like the models for gasoline demand you have been estimating. Until now, we have implicitly assumed that these models satisfied the classical assumptions of the Gaussian linear model. In particular, we have assumed that the error sequences {ut} were iid and approximately Gaussian, thus justifying the application of elementary least squares methods of estimation.
منابع مشابه
Economics 508 Lecture 4 Model Selection and Fishing for Significance
Classical hypothesis testing plays a central role in econometrics, but in many applied problems we face a preliminary stage of the analysis in which we need to make decisions about model specification. These decisions are not very well formalized in terms of classical hypothesis testing, and gradually specialized procedures have been developed for this under the rubric “model selection.” In thi...
متن کاملEconomics 508 Lecture 12 Introduction to Dynamic Simultaneous Equation Models
Suppose we consider a commodity like oil, both demand and supply functions are subject to various shocks that shift the two curves around. What we see –at best– is a set of intersections. In the absence of any further information the problem of uncovering separate S and D curves is hopeless. This point was made in the classic (1928) paper of E. J. Working – “What do Statistical Demand Curves Sh...
متن کاملEconomics 508 Roger Koenker Lecture 2 Transformations and the Specification of Econometric Models
What relationship does (â, b̂) bear to (α, β) in the original model and can we hope to say anything reasonable having made this initial specification error? In Figure 1, we can examine a specific version of this situation in which (α, β) = (1, .5) and the variance of ui is quite small. Clearly we don’t do a very good job of estimating the curve represented by the observed points by the line indi...
متن کاملEE291E Lecture Notes 7. Controller Synthesis for Hybrid Systems I: Introduction to Discrete Games
This lecture is first in a series of lectures on designing control laws for hybrid systems. What is a control law? It is a method by which we steer the automaton using input variables, so that the closed loop exhibits certain desirable properties. A control problem involves: 1. A plant 2. A specification 3. A controller Controller synthesis involves coming up with a methodology for designing co...
متن کامل