On the sensitivity of the restricted least squares estimators to covariance misspecification

doi:10.1111/j.1368-423X.2007.00217.x

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	On the sensitivity of the restricted least squares estimators to covariance misspecification
	Wan, Alan T. K.; Zou, Guohua ; Qin, Huaizhen
	2007
发表期刊	ECONOMETRICS JOURNAL
ISSN	1368-4221
卷号	10 期号:3 页码:471-487
摘要	Traditional econometrics has long stressed the serious consequences of non-spherical disturbances for the estimation and testing procedures under the spherical disturbance setting, that is, the procedures become invalid and can give rise to misleading results. In practice, it is not unusual, however, to find that the parameter estimates do not change much after fitting the more general structure. This suggests that the usual procedures may well be robust to covariance misspecification. Banerjee and Magnus (1999)proposed sensitivity statistics to decide if the Ordinary Least Squares estimators of the coefficients and the disturbance variance are sensitive to deviations from the spherical error assumption. This paper extends their work by investigating the sensitivity of the restricted least squares estimator to covariance misspecification where the restrictions may or may not be correct. Large sample results giving analytical evidence to some of the numerical findings reported in Banerjee and Magnus (1999) are also obtained.
关键词	autocorrelation non-spherical disturbances restrictions sensitivity
DOI	10.1111/j.1368-423X.2007.00217.x
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000250497700001
出版者	BLACKWELL PUBLISHING
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4412
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, Alan T. K.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 4.Michigan Technol Univ, Dept Math Sci, Houghton, MI 49931 USA
推荐引用方式 GB/T 7714	Wan, Alan T. K.,Zou, Guohua,Qin, Huaizhen. On the sensitivity of the restricted least squares estimators to covariance misspecification[J]. ECONOMETRICS JOURNAL,2007,10(3):471-487.
APA	Wan, Alan T. K.,Zou, Guohua,&Qin, Huaizhen.(2007).On the sensitivity of the restricted least squares estimators to covariance misspecification.ECONOMETRICS JOURNAL,10(3),471-487.
MLA	Wan, Alan T. K.,et al."On the sensitivity of the restricted least squares estimators to covariance misspecification".ECONOMETRICS JOURNAL 10.3(2007):471-487.