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Erschienen in:
1984 | OriginalPaper | Buchkapitel
Misspecification and the Choice of Estimators, A Heuristic Approach
verfasst von : Theo K. Dijkstra
Erschienen in: Misspecification Analysis
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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We study a classical simultaneous system which is possibly misspecified in the sense that too many variables may have been deleted from the structural equations. Suppose the system is to be used for predictive purposes. We compare unrestricted least squares, full-information and pre-test estimators based on the outcome of a chi-square test-statistic. A plea is made to take two times the degrees of freedom of the hypothesized model as critical value for the chi-square test.