Generalised residuals

Christian Gourieroux; Alain Monfort; Eric Renault; Alain Trognon

doi:10.1016/0304-4076(87)90065-0

Generalised residuals

Christian Gourieroux
, Alain Monfort
, Eric Renault
, Alain Trognon

CEPREMAP Centre pour la Recherche Économique et ses Applications
Batiment MK2 Bureau 2020

Research output: Contribution to journal › Article › peer-review

262 Citations (Scopus)

Abstract

This paper proposes a definition of generalised residuals for a large class of non-linear econometric models. These residuals are shown to have properties similar to those of the familiar residuals in the linear model and to be useful in many hypothesis testing problems.

Original language	English
Pages (from-to)	5-32
Number of pages	28
Journal	Journal of Econometrics
Volume	34
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4076(87)90065-0
Publication status	Published - 1 Jan 1987
Externally published	Yes

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title = "Generalised residuals",

abstract = "This paper proposes a definition of generalised residuals for a large class of non-linear econometric models. These residuals are shown to have properties similar to those of the familiar residuals in the linear model and to be useful in many hypothesis testing problems.",

author = "Christian Gourieroux and Alain Monfort and Eric Renault and Alain Trognon",

year = "1987",

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doi = "10.1016/0304-4076(87)90065-0",

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T1 - Generalised residuals

AU - Gourieroux, Christian

AU - Monfort, Alain

AU - Renault, Eric

AU - Trognon, Alain

PY - 1987/1/1

Y1 - 1987/1/1

N2 - This paper proposes a definition of generalised residuals for a large class of non-linear econometric models. These residuals are shown to have properties similar to those of the familiar residuals in the linear model and to be useful in many hypothesis testing problems.

AB - This paper proposes a definition of generalised residuals for a large class of non-linear econometric models. These residuals are shown to have properties similar to those of the familiar residuals in the linear model and to be useful in many hypothesis testing problems.

U2 - 10.1016/0304-4076(87)90065-0

DO - 10.1016/0304-4076(87)90065-0

M3 - Article

AN - SCOPUS:0002627325

SN - 0304-4076

VL - 34

SP - 5

EP - 32

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

ER -

Generalised residuals

Abstract

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