IDEAS home Printed from https://ideas.repec.org/p/ags/queddp/275178.html
   My bibliography  Save this paper

Two Papers on Linear Models

Author

Listed:
  • Fisher, Gordon
  • Gregory, Allan W.
  • McAleer, Michael

Abstract

When coefficients of endogenous variables are known, it is demonstrated that two-stage least squares and instrumental variable estimators are invariant to the form in which these variables enter computations, as raw data or estimates. Exclusion of instruments and knowledge of coefficients are related to identifiability testing, and a test presented. -- This paper discusses the traditional specification problem from a geometric viewpoint. While the traditional emphasis is on the properties of estimators, the geometric approach also allows an easy development of corresponding results for inference. Errors arising from artificial inclusion or exclusion of variables are considered in terms of augmentations or restrictions on a given maintained hypothesis, and this allows a corresponding interpretation of tests based upon the Wald and Lagrange Multiplier Principles. It is demonstrated that biases arising from incorrect exclusion of variables do not invalidate the traditional F-test.

Suggested Citation

  • Fisher, Gordon & Gregory, Allan W. & McAleer, Michael, 1980. "Two Papers on Linear Models," Queen's Institute for Economic Research Discussion Papers 275178, Queen's University - Department of Economics.
    • Handle: RePEc:ags:queddp:275178
    DOI: 10.22004/ag.econ.275178
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/275178/files/QUEENS-IER-PAPER-411.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.275178?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Riddell, W C & Buse, A, 1980. "An Alternative Approach to Specification Errors," Australian Economic Papers, Wiley Blackwell, vol. 19(34), pages 211-214, June.
    2. Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Paper 400, Economics Department, Queen's University.
    3. Fisher, Gordon, 1980. "Propositions, Principles and Methods: The Linear Hypothesis and Structural Change," Queen's Institute for Economic Research Discussion Papers 275175, Queen's University - Department of Economics.
    4. Gordon Fisher, 1980. "Propositions, Principles and Methods: The Linear Hypothesis and Structural Change," Working Paper 410, Economics Department, Queen's University.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bing Xiang, 1993. "The Choice of Return†Generating Models and Cross†Sectional Dependence in Event Studies," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 365-394, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:queddp:275178. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.