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Artificial Regressions

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Author Info
Davidson, R.
MacKinnon
J.G.

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Abstract

Associated with every popular nonlinear estimationmethod is at least ont "artificial" linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful for numerical optimization, testing hypotheses, and computing paremeter estimates. Several existing artificial regressions are discussed and are shown to satisfy the defining conditions, and a new artificial regression for regression models with heteroskedasticity of unknown form is introduced.

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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99a04.

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Length: 22 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:aixmeq:99a04

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Related research
Keywords: REGRESSION ANALYSIS ; ESTIMATION OF PARAMETERS ; ECONOMETRIC MODELS;

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. MacKinnon, James G & Magee, Lonnie, 1990. "Transforming the Dependent Variable in Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 315-39, May. [Downloadable!] (restricted)
  2. Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Blackwell Publishing, vol. 48(3), pages 487-96, July. [Downloadable!] (restricted)
  3. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July. [Downloadable!] (restricted)
    Other versions:
  4. Miguel A. Delgado & Thanasis Stengos, 1990. "Semiparametric Specification Testing," Working Papers 778, Queen's University, Department of Economics.
  5. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August. [Downloadable!] (restricted)
  6. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc. [Downloadable!]
  7. repec:cup:etheor:v:6:y:1990:i:1:p:17-43 is not listed on IDEAS
  8. Delgado, Miguel A & Stengos, Thanasis, 1994. "Semiparametric Specification Testing of Non-nested Econometric Models," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 291-303, April. [Downloadable!] (restricted)
  9. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August. [Downloadable!] (restricted)
  10. Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Papers 616, Queen's University, Department of Economics. [Downloadable!]
  11. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August. [Downloadable!] (restricted)
  12. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(01), pages 17-43, March. [Downloadable!]
  13. Orme, Chris, 1995. "On the Use of Artificial Regressions in Certain Microeconometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 290-305, February. [Downloadable!]
  14. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May. [Downloadable!] (restricted)
    Other versions:
  15. Thomas, Jonathan M, 1993. "On Testing the Logistic Assumption in Binary Dependent Variable Models," Empirical Economics, Springer, vol. 18(2), pages 381-92.
  16. Davidson, Russell & MacKinnon, James G, 1999. "Bootstrap Testing in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 487-508, May.
    Other versions:
  17. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November. [Downloadable!] (restricted)
  18. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-53, July. [Downloadable!] (restricted)
  19. Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June. [Downloadable!] (restricted)
    Other versions:
  20. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  21. Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-57, January. [Downloadable!] (restricted)
    Other versions:
  22. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January. [Downloadable!] (restricted)
  23. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier. [Downloadable!] (restricted)
  24. Messer, Karen & White, Halbert, 1984. "A Note on Computing the Heteroskedasticity Consistent Covariance Matrix Using Instrumental Variable Techniques," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 46(2), pages 181-84, May.
  25. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May. [Downloadable!] (restricted)
  26. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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  3. Stefan Gerlach & Wensheng Peng, 2003. "Bank Lending and Property Prices in Hong Kong," Working Papers 122003, Hong Kong Institute for Monetary Research. [Downloadable!]
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  4. Alexis León, 2006. "Does Ethnic Capital Matter? Identifying the Role of Ethnic Peer Effects in the Intergenerational Transmission of Ethnic Differentials," Working Papers 289, University of Pittsburgh, Department of Economics, revised Dec 2006. [Downloadable!]
  5. Rémi Bazillier, 2004. "Core labour standards and economic growth," Cahiers de la Maison des Sciences Economiques bla04088, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  6. Grossmann, Volker & Stadelmann, David, 2008. "International Mobility of the Highly Skilled, Endogenous R&D, and Public Infrastructure Investment," IZA Discussion Papers 3366, Institute for the Study of Labor (IZA). [Downloadable!]
  7. Shi, Hongqi & Mittelhammer, Ron & Wahl, Thomas I., 1995. "Aggregate Food Demand Analysis For A Transitional Economy: An Application To Chinese Household Expenditure Data," Journal of Food Distribution Research, Food Distribution Research Society, vol. 26(2), September. [Downloadable!]
  8. José Ignacio Sémbler & Patricio Meller & Joaquín Vial, 2006. "Un Análisis Econométrico del Consumo Mundial de Celulosa," Documentos de Trabajo 227, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  9. Fitzpatrick, Trevor & McQuinn, Kieran, 2004. "House Prices and Mortgage Credit: Empirical Evidence for Ireland," Research Technical Papers 5/RT/04, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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  10. Christopher Decker & Mark Wohar, 2007. "Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States," The Annals of Regional Science, Springer, vol. 41(1), pages 171-188, March. [Downloadable!] (restricted)
  11. Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria. [Downloadable!]
  12. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  13. Hali J. Edison & Michael Klein & Luca Antonio Ricci & Torsten Sløk, 2002. "Capital Account Liberalization and Economic Performance: Survey and Synthesis," IMF Working Papers 02/120, International Monetary Fund. [Downloadable!]
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  14. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 31-40. [Downloadable!] (restricted)
  15. Ingrid Nielsen & Chris Nyland & Russell Smyth & Cherrie Jiuhua Zhu, 2005. "Perceptions of Subjective Economic Well-Being and Support for Market Reform among China's Urban Population," Post-Communist Economies, Taylor and Francis Journals, vol. 17(4), pages 425-447, December. [Downloadable!] (restricted)
  16. Javier Capó Parrilla, 2009. "Curva de Kuznets ambiental: Evidencia para Europa," CRE Working Papers (Documents de treball del CRE) 2009/3, Centre de Recerca Econòmica (UIB ·"Sa Nostra"). [Downloadable!]
  17. Felicitas Nowak-Lehmann D. & Inmaculada Martínez- Zarzoso, 2003. "The interplay of export supply and the real exchange rate. Evidence for Mercosur exports to the EU," International Trade 0309020, EconWPA. [Downloadable!]
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  19. Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2005. "Joint LM Test for Homoskedasticity in a One-Way error Component Model," Center for Policy Research Working Papers 72, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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  20. Boris Dodonov & Christian Von Hirschhausen & Petra Opitz & Pavlo Sugolov, 2002. "Efficient Infrastructure Supply for Economic Development in Transition Countries: the Case of Ukraine," Post-Communist Economies, Taylor and Francis Journals, vol. 14(2), pages 149-167, June. [Downloadable!] (restricted)
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