By Badi H. Baltagi
A better half to Theoretical Econometrics presents a complete connection with the fundamentals of econometrics. This better half makes a speciality of the principles of the sphere and while integrates well known issues usually encountered by means of practitioners. The chapters are written through foreign specialists and supply updated examine in components no longer frequently lined through common econometric texts.
- Focuses at the foundations of econometrics.
- Integrates real-world themes encountered through pros and practitioners.
- Draws on updated learn in components no longer coated through general econometrics texts.
- Organized to supply transparent, available details and aspect to additional readings.
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Additional resources for A Companion to Theoretical Econometrics
Journal of Econometrics 47, 5–46. K. BERA AND A Companion to Theoretical Econometrics G. PREMARATNE Edited by Badi H. Baltagi Copyright © 2001, 2003 by Blackwell Publishing Ltd C H A P T E R T W O General Hypothesis Testing Anil K. Bera and Gamini Premaratne* 1 INTRODUCTION The history of statistical hypothesis testing is, indeed, very long. Neyman and Pearson (1933) traced its origin to Bayes (1763). However, systematic applications of hypothesis testing began only after the publication of Karl Pearson’s (1900) goodness-of-fit test, which is regarded as one of the 20 most important scientific breakthroughs in this century.
Theorem 1. 19). Proof. To prove this theorem, we need to show two things. 21). This result follows by standard asymptotic arguments based on the one-step property. The second is that the vector n−1/2qׅ2 51s = n−1/2Rׅ2 (θ0)M1(θ0)r(θ0) + op(1) is asymptotically normally distributed. The equality here also follows by standard asymptotic arguments. The asymptotic normality of P implies that c is asymptotically normally distributed. 22), n−1/2qׅ2 51s must also be asymptotically normally distributed.
The information matrix test: simplified calculation via a score test interpretation. Economics Letters 13, 45–8. , and R. Spady (1991). Asymptotic expansions of the information matrix test statistic. Econometrica 59, 787–815. G. MacKinnon (1981). Several tests for model specification in the presence of alternative hypotheses. Econometrica 49, 781–93. G. MacKinnon (1984a). Model specification tests based on artificial linear regressions. International Economic Review 25, 485–502. G. MacKinnon (1984b).