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On the Use of Artificial Regressions in Certain Microeconometric Models

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Author Info
Orme, Chris

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Abstract

Conditional moment tests check to see whether or not population moment equalities, implied by the null model specification, hold approximately in the sample. Asymptotically valid conditional statistics can easily be calculated from the output of a so-called outer product of the gradient (OPG) artificial regression. However, several studies have now found that this OPG variant exhibits extremely poor finite sample behavior and that significant improvements can be made by employing the efficient variant. In the light of such evidence, this paper develops new artificial regressions that can be used to calculate the efficient variant of the test statistic. These artificial regressions can also serve several other purposes, including the construction of Hausmantype tests of parameter estimator consistency.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 11 (1995)
Issue (Month): 02 (February)
Pages: 290-305
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Handle: RePEc:cup:etheor:v:11:y:1995:i:02:p:290-305_00

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  1. Hoetker, Glenn, 2004. "Confounded Coefficients: Accurately Comparing Logit and Probit Coefficients across Groups," Working Papers 03-0100, University of Illinois at Urbana-Champaign, College of Business. [Downloadable!]
  2. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
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