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Double Length Artificial Regressions

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  • Davidson, Russell
  • MacKinnon, James G

Abstract

Artificial linear regressions often provide a convenient way to calculate test statistics and estimated covariance ma trices. This paper discusses one family of these regressions called d ouble length because the number of observations in the artificial reg ression is twice the actual number of observations. These double-leng th regressions can be useful in a wide variety of situations. They ar e quite easy to calculate, and, in contrast to the more widely applic able OPG regression, seem to have good properties when applied to sam ples of modest size. The authors first discuss how they are related t o the familiar Gauss-Newton and squared-residuals regressions for non linear regression models, then show how they may be used to test for functional form, and finally discuss several other ways in which they may be useful in applied econometric work. Copyright 1988 by Blackwell Publishing Ltd

Suggested Citation

  • Davidson, Russell & MacKinnon, James G, 1988. "Double Length Artificial Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 203-217, May.
  • Handle: RePEc:bla:obuest:v:50:y:1988:i:2:p:203-17
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    References listed on IDEAS

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    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 315-339, May.
    2. Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
    3. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics.
    4. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, pages 83-104.
    5. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, pages 1051-1053.
    6. 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.
    7. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, pages 817-838.
    8. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, pages 1287-1294.
    9. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, pages 1047-1070.
    10. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, pages 45-48.
    11. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
    12. L. G. Godfrey & M. R. Wickens, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Oxford University Press, vol. 48(3), pages 487-496.
    13. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    14. 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, pages 492-503.
    15. Russell Davidson & James G. MacKinnon, 1981. "Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test," Working Papers 439, Queen's University, Department of Economics.
    16. 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.
    17. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, pages 241-262.
    18. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, pages 363-384.
    19. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, pages 269-275.
    20. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, pages 107-112.
    21. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, pages 410-421.
    22. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, pages 1293-1301.
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    Cited by:

    1. Le, Canh Quang & Li, Dong, 2008. "Double-Length Regression tests for testing functional forms and spatial error dependence," Economics Letters, Elsevier, pages 253-257.
    2. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, pages 363-384.
    3. Badi Baltagi & Long Liu, 2014. "Testing for spatial lag and spatial error dependence using double length artificial regressions," Statistical Papers, Springer, pages 477-486.
    4. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics.
    5. Baltagi, Badi H., 1997. "Testing linear and loglinear error components regressions against Box-Cox alternatives," Statistics & Probability Letters, Elsevier, pages 63-68.
    6. Badi H. Baltagi & Ying Deng, 2015. "EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects," Econometric Reviews, Taylor & Francis Journals, pages 659-694.

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