On the sensitivity of the restricted least squares estimators to covariance misspecification
文献类型：期刊论文
| 作者 | Wan, Alan T. K.; Zou, Guohua; Qin, Huaizhen |
| 刊名 | ECONOMETRICS JOURNAL
 |
| 出版日期 | 2007 |
| 卷号 | 10期号:3页码:471-487 |
| 关键词 | autocorrelation non-spherical disturbances restrictions sensitivity |
| ISSN号 | 1368-4221 |
| DOI | 10.1111/j.1368-423X.2007.00217.x |
| 英文摘要 | Traditional econometrics has long stressed the serious consequences of non-spherical disturbances for the estimation and testing procedures under the spherical disturbance setting, that is, the procedures become invalid and can give rise to misleading results. In practice, it is not unusual, however, to find that the parameter estimates do not change much after fitting the more general structure. This suggests that the usual procedures may well be robust to covariance misspecification. Banerjee and Magnus (1999)proposed sensitivity statistics to decide if the Ordinary Least Squares estimators of the coefficients and the disturbance variance are sensitive to deviations from the spherical error assumption. This paper extends their work by investigating the sensitivity of the restricted least squares estimator to covariance misspecification where the restrictions may or may not be correct. Large sample results giving analytical evidence to some of the numerical findings reported in Banerjee and Magnus (1999) are also obtained. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000250497700001 |
| 出版者 | BLACKWELL PUBLISHING |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/4411]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 4.Michigan Technol Univ, Dept Math Sci, Houghton, MI 49931 USA |
| 推荐引用方式 GB/T 7714 | Wan, Alan T. K.,Zou, Guohua,Qin, Huaizhen. On the sensitivity of the restricted least squares estimators to covariance misspecification[J]. ECONOMETRICS JOURNAL,2007,10(3):471-487. |
| APA | Wan, Alan T. K.,Zou, Guohua,&Qin, Huaizhen.(2007).On the sensitivity of the restricted least squares estimators to covariance misspecification.ECONOMETRICS JOURNAL,10(3),471-487. |
| MLA | Wan, Alan T. K.,et al."On the sensitivity of the restricted least squares estimators to covariance misspecification".ECONOMETRICS JOURNAL 10.3(2007):471-487. |
入库方式： OAI收割
来源：数学与系统科学研究院
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