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Artificial Regressions

Author

Listed:
  • James G. MacKinnon

    () (Queen's University)

  • Russell Davidson

    (McGill University)

Abstract

Associated with every popular nonlinear estimation method is at least one ``artificial'' linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificialregressions can be useful for numerical optimization, testing hypotheses, and computing parameter 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.

Suggested Citation

  • James G. MacKinnon & Russell Davidson, 2001. "Artificial Regressions," Working Paper 1038, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:1038
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1038.pdf
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    References listed on IDEAS

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    5. 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.
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    7. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
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    13. Grossmann, Volker & Stadelmann, David, 2008. "International Mobility of the Highly Skilled, Endogenous R&D, and Public Infrastructure Investment," IZA Discussion Papers 3366, Institute of Labor Economics (IZA).
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    18. Rémi Bazillier, 2004. "Core labour standards and economic growth," Cahiers de la Maison des Sciences Economiques bla04088, Université Panthéon-Sorbonne (Paris 1).
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    22. Patacchini, Eleonora, 2003. "On the estimation of covariance matrices using panel data artificial regressions," Discussion Paper Series In Economics And Econometrics 0303, Economics Division, School of Social Sciences, University of Southampton.
    23. 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, University Library of Munich, Germany.
    24. 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").

    More about this item

    Keywords

    artificial regression; LM test; specification test; Gauss-Newton regression; one-step estimation; OPG regression; double-length regression; binary response model;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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