Econometric Tests - e. Box-cox test f. Bm-test g. PE test...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Econometric Tests 1. Assumption 1, errors are normally distributed a. Jarque-Berra Test 2. Assumption 2, expected value of the errors is zero. a. T-test on errors, H o : E(e)=0 3. Assumption 3, No autocorrelation a. Durbin-Watson test b. Durbin’s H test, for autoregressive models c. Von-Neumann Ratio d. Berenblut-Webb test e. Wallis test f. Breusch-Godfrey test g. Box-Pierce-Ljung test h. Runs-test 4. Assumption 4, No hetroskedasticity a. White test b. Likelihood Ratio test c. Breusch-Pagan test d. Goldfeldt-Quadt test
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: e. Box-cox test f. Bm-test g. PE test h. Ramseys reset test i. Lagrange multiplier test j. Park test k. Glejser test l. Spearmans rank correlation test m. Koenker-Bassett 5. Assumption 5, specification tests, E(Xe)=0 a. Durbin-Watson test b. Ramsey reset test c. Wu-Hausman test. This is the one that really tests for endogeneity. 6. Multicollinearity a. Variance inflation factor b. Theils measure 7. Unit roots a. Dickey-fuller test...
View Full Document

This note was uploaded on 08/06/2009 for the course ECON 140 taught by Professor Duncan during the Spring '08 term at University of California, Berkeley.

Page1 / 2

Econometric Tests - e. Box-cox test f. Bm-test g. PE test...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online