Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?

DOI10.1016/S0165-1765(96)00906-8zbMath0897.90058OpenAlexW2092694275MaRDI QIDQ1392156

David L. Edgerton

Publication date: 23 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00906-8

zbMATH Keywords

Monte Carlo simulationtest properties

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (6)

A Note on a Commonly Used Ridge Regression Monte Carlo Design ⋮ Testing for multivariate heteroscedasticity ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ Testing autocorrelation in a system perspective testing autocorrelation ⋮ Take-or-pay contract valuation under price and private uncertainty ⋮ Simulation‐based tests for heteroskedasticity in linear regression models: Some further results

Cites Work

• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Some Properties of Tests for Specification Error in a Linear Regression Model
• Testing autocorrelation in a system perspective testing autocorrelation
• A Monte Carlo Study of Some Small Sample Properties of Tests for Specification Error

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