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The test was developed by James B. Ramsey as part of his Ph.D. thesis at the University of Wisconsin–Madison in 1968, and later published in the Journal of the Royal Statistical Society in 1969. [ 1 ] [ 2 ]
It contained the RESET test for misspecification of an econometric model. After briefly serving as professor at University of Birmingham , England, and Michigan State University , Ramsey moved to New York University as professor of economics and chair of the economics department between 1978 and 1987, where he remained for 37 years until his ...
Durbin–Wu–Hausman test; Exploratory data analysis; Feature selection; Heteroscedasticity, second-order statistical misspecification; Information matrix test; Model identification; Principle of Parsimony; Spurious relationship; Statistical conclusion validity; Statistical inference; Statistical learning theory
EViews is a statistical package for Windows, used mainly for time-series oriented econometric analysis. It is developed by Quantitative Micro Software (QMS), now a part of IHS . Version 1.0 was released in March 1994, and replaced MicroTSP. [ 1 ]
The original model uses an iterative three-stage modeling approach: Model identification and model selection: making sure that the variables are stationary, identifying seasonality in the dependent series (seasonally differencing it if necessary), and using plots of the autocorrelation (ACF) and partial autocorrelation (PACF) functions of the dependent time series to decide which (if any ...
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In EViews, this test is already done after a regression, at "View" → "Residual Diagnostics" → "Serial Correlation LM Test". In Julia, the BreuschGodfreyTest function is available in the HypothesisTests package. [10] In gretl, this test can be obtained via the modtest command, or under the "Test" → "Autocorrelation" menu entry in the GUI ...
The cointegration test on does not follow a standard distribution The validity of the long-run parameters in the first regression stage where one obtains the residuals cannot be verified because the distribution of the OLS estimator of the cointegrating vector is highly complicated and non-normal