Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

J. B. Ramsey
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 31, No. 2 (1969), pp. 350-371
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2984219
Page Count: 22
  • Read Online (Free)
  • Download ($29.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis
Preview not available

Abstract

The effects on the distribution of least-squares residuals of a series of model mis-specifications are considered. It is shown that for a variety of specification errors the distributions of the least-squares residuals are normal, but with non-zero means. An alternative predictor of the disturbance vector is used in developing four procedures for testing for the presence of specification error. The specification errors considered are omitted variables, incorrect functional form, simultaneous equation problems and heteroskedasticity.

Page Thumbnails

  • Thumbnail: Page 
350
    350
  • Thumbnail: Page 
351
    351
  • Thumbnail: Page 
352
    352
  • Thumbnail: Page 
353
    353
  • Thumbnail: Page 
354
    354
  • Thumbnail: Page 
355
    355
  • Thumbnail: Page 
356
    356
  • Thumbnail: Page 
357
    357
  • Thumbnail: Page 
358
    358
  • Thumbnail: Page 
359
    359
  • Thumbnail: Page 
360
    360
  • Thumbnail: Page 
361
    361
  • Thumbnail: Page 
362
    362
  • Thumbnail: Page 
363
    363
  • Thumbnail: Page 
364
    364
  • Thumbnail: Page 
365
    365
  • Thumbnail: Page 
366
    366
  • Thumbnail: Page 
367
    367
  • Thumbnail: Page 
368
    368
  • Thumbnail: Page 
369
    369
  • Thumbnail: Page 
370
    370
  • Thumbnail: Page 
371
    371