Simulated residuals

DOI10.1016/0304-4076(87)90073-XMaRDI QIDQ1089705zbMATH OpenOpenAlexFDO

Authors Alain Monfort, Eric Renault, Christian Gouriéroux, Alain Trognon

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90073-x

zbMATH Keywords

diagnostic checksdisequilibrium modelslatent regression modelnonlinear mappingprobitregression packagessimulated residualsteststobit

Mathematics Subject Classification ID

General nonlinear regression (62J02) Applications of statistics to economics (62P20)

Review text

This article deals with models deduced from a latent regression model by a nonlinear mapping (probit, tobit, disequilibrium models). In this context simulated residuals are defined whose role is similar to that of usual residuals in the regression model. In particular it is possible, with these new tools, to use the standard regression packages for diagnostic checks or genuine statistical tests.

Recommendations

• Pseudo latent models: goodness of fit measures, residuals, estimation, testing, and simulation
• Residuals for multinomial models
• Generalised residuals
• Decomposition of non-linear models using simulated residuals
• Diagnostic tests as residual analysis

Cites work

• Asymptotic Properties of Non-Linear Least Squares Estimators
• scientific article; zbMATH DE number 3263751 (Why is no real title available?)
• Pseudo Maximum Likelihood Methods: Theory
• The performance of the likelihood ratio test when the model is incorrect

Cited in

(10)

• Residual analysis in the grouped and censored normal linear model
• Generalised residuals
• Pseudo latent models: goodness of fit measures, residuals, estimation, testing, and simulation
• Estimating simultaneous equations models by a simulation technique
• The Logit Model in Economics
• Quasi-likelihood estimation of a censored autoregressive model with exogenous variables
• Probability-scale residuals for continuous, discrete, and censored data
• Simulation-based inference. A survey with special reference to panel data models
• Decomposition of non-linear models using simulated residuals
• Some selection criteria for nested binary choice models: a comparative study

This page was built for publication: Simulated residuals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1089705)