计量经济学Lecture.pptVIP

9.3,9.4, C9.2, C9.4 * Specification and Data Problems　 in Multiple Regression Analysis y = b0 + b1x1 + b2x2 + . . . bkxk + u * Functional Form We’ve seen that a linear regression can really fit nonlinear relationships Can use logs on y or x’s Can use quadratic forms of x’s Can use interactions of x’s How do we know if we’ve gotten the right functional form for our model? * Functional Form (continued) First, use economic theory to guide you Think about the interpretation Does it make more sense for x to affect y in percentage (use logs) or absolute terms? Does it make more sense for the derivative of x1 to vary with x1 (quadratic) or with x2 (interactions) or to be fixed? * Functional Form (continued) We already know how to test joint exclusion restrictions to see if higher order terms or interactions belong in the model It can be tedious to add and test extra terms, plus may find a square term matters when really using logs would be even better A test of functional form is Ramsey’s regression specification error test (RESET) * Ramsey’s RESET RESET relies on a trick similar to the special form of the White test Instead of adding functions of the x’s directly, we add and test functions of ? So, estimate y = b0 + b1x1 + … + bkxk + d1?2 + d1?3 +error 　　　and test H0: d1 = 0, d2 = 0 using F~F2,n-k-3 or LM~χ22 * Nonnested Alternative Tests If the models have the same dependent variables, but nonnested x’s could still just make a giant model with the x’s from both and test joint exclusion restrictions that lead to one model or the other * Nonnested Alternative Tests An alternative, the Davidson-MacKinnon test, uses ? from one model as regressor in the second model and tests for significance * Nonnested Alternatives (cont) More difficult if one model uses y and the other uses ln(y) Can follow same basic logic and transform predicted ln(y) to get ? for the second step In any case, Davidson-MacKinnon test may reject neither or both models rather tha