Omitted variable tests and dynamic specification

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Inhaltsverzeichnis1. Introduction.2. The t-statistic under dynamic misspecification.2.1 The model.2.2 Properties of the estimators ?.2.3 The distribution of the quasi t-statistic.2.4 Invariance results.2.5 Monte Carlo experimentation.3. Consumer theory and the Rotterdam model.3.1 Commodity space and budget set.3.2 Preferences, direct utility function and Marshallian demand.3.3 Cost function and Hicksian demand.3.4 The Rotterdam model.3.5 The Rotterdam model in matrix form.4. Robust estimation.4.1 Quasi-maximum likelihood estimation.4.2 Estimation of the covariance matrix of the quasi-maximum likelihood estimator.5. Testing for homogeneity.5.1 Anderson’s U test if the errors are time-independent (LRU).5.2 Functional equivalence between the LRU and Laitinen’s statistic.5.3 Likelihood ratio test if the errors are VAR(p).5.4 The distribution of the LRU statistic under dynamic misspecification.5.5 The robust Wald test.5.6 Summary.6. Monte Carlo experimentation.6.1 Data.6.2 The data-generating process.6.3 Experiments.6.4 Simulation results.7. Conclusions.A. Proof of proposition 5.4.B. Data.C. Values of the population parameters.D. Algorithm for the MA(1) parameters.List of Figures.List of Tables.