By Badi H. Baltagi
A better half to Theoretical Econometrics presents a finished connection with the fundamentals of econometrics. This better half specializes in the rules of the sphere and whilst integrates well known issues usually encountered through practitioners. The chapters are written through overseas specialists and supply updated learn in parts now not often coated by way of regular econometric texts.
Focuses at the foundations of econometrics.
Integrates real-world subject matters encountered via execs and practitioners.
Draws on updated examine in components now not coated through usual econometrics texts.
- equipped to supply transparent, available info and aspect to extra readings.
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BERA AND A Companion to Theoretical Econometrics G. PREMARATNE Edited by Badi H. Baltagi Copyright © 2001, 2003 by Blackwell Publishing Ltd C H A P T E R T W O General Hypothesis Testing Anil K. Bera and Gamini Premaratne* 1 INTRODUCTION The history of statistical hypothesis testing is, indeed, very long. Neyman and Pearson (1933) traced its origin to Bayes (1763). However, systematic applications of hypothesis testing began only after the publication of Karl Pearson’s (1900) goodness-of-fit test, which is regarded as one of the 20 most important scientific breakthroughs in this century.
Despite this drawback, the OPG regression provides a particularly convenient way to obtain various theoretical results. For example, suppose that we are interested in the variance of P2, the last element of P. If θ1 denotes a vector of the remaining k − 1 elements, and G(θ) and b are partitioned in the same way as θ, the OPG regression becomes ι = G1(θ)b1 + G2(θ)b2 + residuals, and the FWL regression derived from this by retaining only the last regressor is M1ι = M1G2b2 + residuals, where M1 ≡ I − G1(Gׅ1 G1)−1Gׅ1 , and the dependence on θ has been suppressed for notational convenience.
Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 3, 653–65. R. Cox (1964). An analysis of transformations. Journal of the Royal Statistical Society, Series B 26, 211–52. Chesher, A. (1983). The information matrix test: simplified calculation via a score test interpretation. Economics Letters 13, 45–8. , and R. Spady (1991). Asymptotic expansions of the information matrix test statistic. Econometrica 59, 787–815. G. MacKinnon (1981). Several tests for model specification in the presence of alternative hypotheses.
A Companion to Theoretical Econometrics by Badi H. Baltagi