Abstract
In order to analyse by simulation the performance of the various tests for homogeneity discussed in chapter 5, the data-generating process must be defined. As mentioned before, testing for homogeneity can be interpreted as an omitted variable test. The simulation analysis here can be seen as an investigation of the omitted variable test for a linear multivariate regression system with dynamic errors and a specific data-generating process (DGP). The small sample properties of the various test statistics for homogeneity discussed in chapter 5depend on the coefficient matrix B, the regressors xt and the DGP of the error process. In the simulation study, the sample size and the number of equations will be varied.
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© 2000 Springer-Verlag Berlin Heidelberg
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Schmolck, B. (2000). Monte Carlo experimentation. In: Omitted Variable Tests and Dynamic Specification. Lecture Notes in Economics and Mathematical Systems, vol 488. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58324-7_6
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DOI: https://doi.org/10.1007/978-3-642-58324-7_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-67358-3
Online ISBN: 978-3-642-58324-7
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