Specifying and Diagnostically Testing Econometric Models

Discusses and illustrates with output from actual problems a number of applied econometric techniques, including OLS specification tests, recursive individual analysis, limited dependent variable models, error component models, time series models, and optimal control analysis.

---

This volume discusses and illustrates with output from actual problems a number of applied econometric techniques. Among the specific techniques covered are OLS specification tests, recursive residual analysis, limited dependent variable models, error component models, time series models, and optimal control analysis. For each, the author outlines the basic mathematical models involved, discusses and estimates a sample problem using the B34S Data Analysis System he developed to facilitate the calculations, displays and evaluates the output of the program, and explores follow-up models. The examples selected are taken from a variety of sources and reflect actual applied research. All results are completely documented in the text so that the reader does not need access to the B34S program in order to use the book effectively. Each chapter covers a specific technique and follows the same general format. The author indicates the statistical problem, reviews the specific calculations available, demonstrates the routines used to make these calculations, and provides an example of the procedure.
Readers wishing to apply the indicated techniques can use either the B34S program or, using information available in the text, program the techniques in a higher level programming language such as the SPEAKEASY system or the SAS/IML system. The techniques discussed have been used in economic analysis, financial modelling, health economics, energy modelling, environmental economics, sociology, political science, and industrial research. Many of the problems in these disciplines have been used as illustrations here, making this a research tool for applied econometricians in each of these areas as well as graduate students in applied economics.