Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 18 of 18 for “"Specification Tests"”.
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Model specification tests with misspecified alternatives: Some robust and simultaneous approaches
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General method of moments bias and specification tests for quantile regression
… to AR(1) model. Chapter 2: This chapter develops specification tests for quantile regression under various data types. We consider what happens to the quantile regression estimator under local and global misspecification and design specification tests that handle a wide range of data types. We …
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Specification tests and a reformulation of frontier models: An alternative approach to efficiency estimation
… frontier models are rarely subjected to rigorous specification tests. The first part of this dissertation is devoted in developing several straightforward specification tests for these models. The tests are based on information matrix and moment tests principles.
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Specification tests for autoregressive conditional heteroskedastic models with applications to exchange rates of Asian countries
… are not often thoroughly tested. We derived some tests for these models using the IM test principle. It is found that these tests turned out to be equivalent to checking whether kurtosis is changing over time, i.e to test for heterokurtosity.
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The application of modern econometric techniques to the analysis of UK labour market and international relationships
… econometric methods and with the aid of various specification tests. In general, the resulting models offer a superior explanation of the relevant economic data than was previously available. In certain cases, this has implications for the conduct of national economic policy.
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Three essays in spatial econometrics
… this dissertation I have dealt with such model specification issues which arises due to spatial nature of the data. The main contributions of this dissertation are thus two folds: spatial model specification and specification tests for spatial panel data models. Each chapter provides econometric …
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Essays on Semiparametric Methods in Finance
… survival model. Graphical methods and specification tests indicate the significant dependence between arrival times can be sufficiently modeled in the semiparametric framework. When the semiparametric model is compared to a theoretical model of geometric Brownian motion, diagnostics …
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Essays on Cross-Sectional and Network Dependence
… chapter, to kernel smoothing based nonparametric specification tests, allowing for cross-sectional dependence in the underlying processes. This theory is then used to generalise the classical Fama-MacBeth regression test. Chapter 3: We generalise the tapering estimators for high-dimensional …
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Three essays on spatial econometrics with an emphasis on testing
… spatial dependence in Econometric models. Misspecifications of spatial dependence in regression models lead to misleading inferences and policy implications. In this dissertation I focus on issues of model specification tests which arise from the spatial structures of the data, and it …
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The impact of crime on birth weight: exploring the definition of residential environment
… across PRE definitions, non-nested model specification tests suggest that the distance-defined model outperforms the census-defined model in predicting birth weight.
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The effect of disability on labour market outcomes
… which of these models was the most appropriate, specification tests were performed. The Hausman test revealed that the fixed effects model was the most appropriate model in explaining the panel dataset. Results from the fixed effects model indicated that disability had no effect on labour force …
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Three Essays in Econometrics
… to the literature on multiple comparisons and specification testing for multivariate models, through the lens of model selection procedures in asset pricing. In the first chapter, I provide a model selection procedure for multivariate models, generalizing the model confidence set (MCS) …
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Some applications of minimum norm quadratic estimation and eigenvalue-based test for heteroskedasticity
… some estimations of heteroskedastic models and tests for heteroskedasticity. We reconsider the minimum norm quadratic unbiased estimation (MINQUE) to obtain an alternative estimator of variance-covariance matrix in heteroskedastic models. We derive the analytical expressions for the mean square …
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Economic Analysis Of Multidimensional Measures Of Obesity
… to the potential endogeneity of obesity, Hausman specification tests are performed, and their results show that 2SLS is preferred over OLS for both gender.</p> <p> The findings from body measures analysis show that the body compositions of men are more complicated than women. For men, besides the …
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Essays in Econometrics
… in the network. As an example, I implement specification tests for dependence across dyads, such as reciprocity or transitivity. Finally, I demonstrate the usefulness of the estimator in an application to a gravity model for import/export relationships across countries. In Chapter 2, joint …
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Essays on testing spatial models
"This thesis mainly develops robust Rao’s score tests (Lagrange multiplier (LM) tests) for different types of spatial models. The models studied in this thesis include a spatial dynamic panel data (SDPD) model and a nonlinear SAR (NSAR) model. The proposed test is aiming to solve model selection …
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Security market manipulations and the assurance of market integrity
… spreads and volatility. By performing Hausman-Wu specification tests, we concluded that simultaneity bias in the thickly-traded deciles is not material for the AI-Volatility and AI-Spread equation pairs. Subsequently, we used the PROBIT model to analyse the probability of adopting RTS across the …
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An Economic Analysis of Evolving Health Hazards
… (mosquitoes) factors associated with human WNV. Tests reveal the presence of spatial autocorrelation in the dependent variable (human WNV). The presence of this phenomenon implies that WNV in neighboring counties do impact the presence of WNV in adjacent counties. Consequently, the random effects …