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Journal of Econometrics

Выпуски:
Generalised residuals [статья]
Опубликовано на портале: 05-01-2003
Christian Gourieroux, Alain Monfort, Alain Trognon, Eric Renault Journal of Econometrics. 1987.  Vol. 34. No. 1-2. P. 5-32. 
This paper proposes a definition of generalised residuals for a large class of non-linear econometric models. These residuals are shown to have properties similar to those of the familiar residuals in the linear model and to be useful in many hypothesis testing problems.
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Опубликовано на портале: 06-04-2004
Andrew Chesher, Margaret Irish Journal of Econometrics. 1987.  Vol. 34. No. 1-2. P. 33-62. 
Graphical and numerical analysis of residual can be informative about model misspecification even when data are censored or grouped. This paper provides simple procedures for calculating diagnostic statistics to detect model misspecification when grouped or censored data are analysed using a normal linear model. Graphs can reveal the nature of the correlations that these statistics pick up but when grouping or censoring is severe they can be difficult to interpret. We discuss the processing of graphs so that they are more easily interpreted and provide examples based on artificial data and on grouped data relating to unemployment durations.
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