The Linear Regression Model Under Test - H. Sonnberger

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Sommaire:
1. Introduction.- 2. Technical Preliminaries.- a) The Linear Regression Model.- Notation and assumptions.- Regression residuals.- b) LR-, Wald- and LM-Tests.- Basic principles.- A simple example.- Estimating the information matrix.- c) Miscellaneous Terminology.- 3. Testing Disturbances.- a) Autocorrelation.- The Durbin-Watson test.- The power of the Durbin-Watson test.- The DW inconclusive region.- Relationship to the LM principle.- Dynamic regressions.- Simultaneous equations.- Other alternatives to the DW test.- b) Heteroskedasticity.- Comparing empirical variances.- A general LM test.- Testing for arbitrary heteroskedasticity.- c) Normality.- Comparing moments.- Residuals vs. true disturbances.- 4. Testing Regressors.- a) Structural Change.- The Chow test and related methods.- Testing subsets of the regression coefficients.- Coefficient stability vs. stability of the variance.- Shift point unknown.- The CUSUM and CUSUM of squares tests.- The CUSUM and CUSUM of squares tests with dummy exogenous variables.- Alternatives to the CUSUM and CUSUM of squares tests.- The Fluctuation test.- Local power.- A Monte Carlo comparison of the CUSUM and Fluctuation tests.- Dynamic models.- A modification of the CUSUM test.- A modification of the CUSUM of squares test.- b) Functional Form.- Ramsey's RESET.- The Rainbow test.- Convex or concave alternatives.- Linear vs. log-linear functional form.- Outliers.- c) General Misspecification.- Hausman-type specification tests.- Errors in variables.- Computing the Hausman test.- Exogeneity.- A Hausman test with trending data.- Hausman tests versus classical tests.- The differencing test.- First differences as an IV estimator.- The information matrix test.- 5. Unifying Themes.- a) Variable Transformation.- Linear transformations.- Examples.- Relationship to IV estimation.- b) Variable Addition.- Data transformation tests as RESETs.- Hausman tests as RESETs.- Power comparisons.- Asymptotic independence.- 6. Diagnostic Checking in Practice.- a) Empirical Results.- Demand for money.- Currency substitution.- Bond yield.- Growth of money supply.- The Value of stocks.- Wages.- Unemployment.- Discussion.- b) Issues in Multiple Testing.- Controlling the size.- R?ger's test.- Global vs. multiple significance level.- Holm's procedure.- Robustness.- Further reading.- a) Sample Data.- b) The IAS-SYSTEM.- References.- Author Index.