Search results
Results from the WOW.Com Content Network
The term error-correction relates to the fact that last-period's deviation from a long-run equilibrium, the error, influences its short-run dynamics. Thus ECMs directly estimate the speed at which a dependent variable returns to equilibrium after a change in other variables.
Linear errors-in-variables models were studied first, probably because linear models were so widely used and they are easier than non-linear ones. Unlike standard least squares regression (OLS), extending errors in variables regression (EiV) from the simple to the multivariable case is not straightforward, unless one treats all variables in the same way i.e. assume equal reliability.
A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model where the standard assumptions of regression analysis do not apply. [1] It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants.
One particular functional form, the error-correction model, is often arrived at when modelling time series. Denis Sargan and David Forbes Hendry (with his general-to-specific modeling) were key figures in the development of the approach and the one way the approach has been extended is through the work on integrated and cointegrated systems by ...
In econometrics, the seemingly unrelated regressions (SUR) [1]: 306 [2]: 279 [3]: 332 or seemingly unrelated regression equations (SURE) [4] [5]: 2 model, proposed by Arnold Zellner in (1962), is a generalization of a linear regression model that consists of several regression equations, each having its own dependent variable and potentially ...
Heteroskedasticity-consistent standard errors that differ from classical standard errors may indicate model misspecification. Substituting heteroskedasticity-consistent standard errors does not resolve this misspecification, which may lead to bias in the coefficients. In most situations, the problem should be found and fixed. [5]
A small correction must be made to the sum-of-squared residuals in the second-stage fitted model in order that the covariance matrix of is calculated correctly. Non-parametric analysis [ edit ]
The Heckman correction is a two-step M-estimator where the covariance matrix generated by OLS estimation of the second stage is inconsistent. [7] Correct standard errors and other statistics can be generated from an asymptotic approximation or by resampling, such as through a bootstrap. [8]