Chi-Square Diagnostic Tests for Econometric Models: Theory
Опубликовано на портале: 13-04-2004
Econometrica.
1988.
Vol. 56.
No. 6.
P. 1419-1453.
Тематический раздел:
This paper extends the Pearson chi-square testing method to nondynamic parametric
econometric models, in particular, to models with covariates. The paper establishes
the asymptotic distribution of the test statistic under the null and local alternatives
when the test statistic is based on data-dependent random cells of a general form
and on an arbitrary asymptotically normal estimator. These results are attained by
extending recent probabilistic results for the weak convergence of empirical processes
indexed by sets. The chi-square test that is introduced can be used to test goodness-of-fit
of a parametric model, as well as to test particular aspects of the parametric model
that are of interest.
Ключевые слова
econometric models диагностическое обследование критерий хи-квадрат математическая модель математический метод эконометрическая модель эконометрический метод
См. также:
Социология: методология, методы и математическое моделирование (Социология: 4М).
2001.
№ 13.
С. 76-96.
[Статья]
Biometrika.
1957.
Vol. 44.
No. 1/2.
P. 131-140.
[Статья]
[Интернет-ресурс]
Университетское управление.
1998.
№ 4(7).
С. 49-51.
[Статья]