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Empirical size and power of some diagnostic tests applied to a distributed lag model

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  • Dimitris Hatzinikolaou
  • Athanassios Stavrakoudis

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Suggested Citation

  • Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006. "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, vol. 31(3), pages 631-643, September.
    • Handle: RePEc:spr:empeco:v:31:y:2006:i:3:p:631-643
    DOI: 10.1007/s00181-005-0039-0
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    References listed on IDEAS

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    1. Kramer, Walter, et al, 1985. "Diagnostic Checking in Practice," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 118-123, February.
    2. Godfrey, L G & Orme, C D, 1994. "The Sensitivity of Some General Checks to Omitted Variables in the Linear Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(2), pages 489-506, May.
    3. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Andrea Vaona, 2008. "Inflation persistence, structural breaks and omitted variables: a critical view," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0802, USI Università della Svizzera italiana.

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    More about this item

    Keywords

    Size; Power; Simulation; RESET; Diagnostic tests; C15; C22; C52;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

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