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

probitnonlinear mappingteststobitsimulated residualsdiagnostic checksdisequilibrium modelslatent regression modelregression packages

Mathematics Subject Classification ID

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

Recommendations

• Pseudo latent models: goodness of fit measures, residuals, estimation, testing, and simulation
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• Generalised residuals
• Decomposition of non-linear models using simulated residuals
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Cites work

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

Cited in

(10)

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

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