Simulated residuals

Christian Gourieroux; Alain Monfort; Eric Renault; Alain Trognon

doi:10.1016/0304-4076(87)90073-X

Simulated residuals

Christian Gourieroux
, Alain Monfort
, Eric Renault
, Alain Trognon

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

Abstract

In this article we consider models deduced from a latent regression model by a non-linear mapping (probit, tobit, disequilibrium models, ...). In this context we define simulated residuals 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.

Original language	English
Pages (from-to)	201-252
Number of pages	52
Journal	Journal of Econometrics
Volume	34
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4076(87)90073-X
Publication status	Published - 1 Jan 1987
Externally published	Yes

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10.1016/0304-4076(87)90073-X

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title = "Simulated residuals",

abstract = "In this article we consider models deduced from a latent regression model by a non-linear mapping (probit, tobit, disequilibrium models, ...). In this context we define simulated residuals 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.",

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

year = "1987",

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AU - Gourieroux, Christian

AU - Monfort, Alain

AU - Renault, Eric

AU - Trognon, Alain

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N2 - In this article we consider models deduced from a latent regression model by a non-linear mapping (probit, tobit, disequilibrium models, ...). In this context we define simulated residuals 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.

AB - In this article we consider models deduced from a latent regression model by a non-linear mapping (probit, tobit, disequilibrium models, ...). In this context we define simulated residuals 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.

UR - https://www.scopus.com/pages/publications/38249036807

U2 - 10.1016/0304-4076(87)90073-X

DO - 10.1016/0304-4076(87)90073-X

M3 - Article

AN - SCOPUS:38249036807

SN - 0304-4076

VL - 34

SP - 201

EP - 252

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

ER -

Simulated residuals

Abstract

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