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The Failure of Assumptions

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The Practice of Econometric Theory

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics ((ASTA,volume 44))

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Abstract

The point was made late in Chap. 4 that the facilities a software package might provide to perform OLS regressions extend beyond the capability to estimate the parameters of economic specifications to include also auxiliary regressions, executed specifically in order to permit the user to perform various misspecification tests. However, if the possibility for the user to construct these is for the moment ignored, the supporting statistics considered as of the end of that chapter can be viewed as displaying certain properties of the specification and the parameter estimates, but without necessarily providing the means to evaluate to any comprehensive degree the appropriateness of either the estimation technique or the chosen specification. The properties of these statistics are nonetheless predicated upon certain assumptions.

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  1. Alphametrics Corporation, 11-13 East Princeton Road, Bala Cynwyd, 19004-2242, Pennsylvania, USA

    Charles Renfro

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Renfro, C. (2009). The Failure of Assumptions. In: The Practice of Econometric Theory. Advanced Studies in Theoretical and Applied Econometrics, vol 44. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-75571-5_6

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  • DOI: https://doi.org/10.1007/978-3-540-75571-5_6

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