The Sensitivity of some General Checks to Omitted Variables in the Linear Model
AbstractThis paper examines the usefulness of H. White's (1982) information matrix test and test for heteroskedasticity of unspecified form as general checks of adequacy in the context of linear models. Asymptotic analysis and Monte Carlo results are provided, with the latter covering a number of general misspecification tests. Comments are made on the value of testing for normality. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 92/3.
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Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
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Other versions of this item:
- 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.
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- Joachim Zietz, 2006.
"Detecting neglected parameter heterogeneity with Chow tests,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 13(6), pages 369-374.
- Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance.
- Eduardo Fé-Rodríguez & Chris D. Orme, 2009. "On the Sensitivity of Kernel-based Tests of Conditional Moment Restrictions," The School of Economics Discussion Paper Series 0912, Economics, The University of Manchester.
- 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.
- Landon, Stuart & Smith, Constance, 1997. "The Use of Quality and Reputation Indicators by Consumers: The Case of Bordeaux Wine," MPRA Paper 9283, University Library of Munich, Germany.
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