|
EconStor >
Ludwig-Maximilians-Universität München (LMU) >
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/31063
|
| | |
| Title: | | Validating linear restrictions in linear regression models with general error structure  |
| Authors: | | Holzmann, Hajo Min, Aleksey Czado, Claudia |
| Issue Date: | | 2006 |
| Series/Report no.: | | Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 478 |
| Abstract: | | A new method for testing linear restrictions in linear regression models is suggested. It allows to validate the linear restriction, up to a specified approximation error and with a specified error probability. The test relies on asymptotic normality of the test statistic, and therefore normality of the errors in the regression model is not required. In a simulation study the performance of the suggested method for model selection purposes, as compared to standard model selection criteria and the t-test, is examined. As an illustration we analyze the US college spending data from 1994. |
| Subjects: | | asymptotic normality linear regression model selection model validation |
| Persistent Identifier of the first edition: | | urn:nbn:de:bvb:19-epub-1846-3 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion papers, SFB 386, LMU München
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/31063
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|