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

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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	201-252
Nombre de pages	52
journal	Journal of Econometrics
Volume	34
Numéro de publication	1-2
Les DOIs	https://doi.org/10.1016/0304-4076(87)90073-X
état	Publié - 1 janv. 1987
Modification externe	Oui

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10.1016/0304-4076(87)90073-X

Contient cette citation

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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",

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AU - Gourieroux, Christian

AU - Monfort, Alain

AU - Renault, Eric

AU - Trognon, Alain

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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.

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

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

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SN - 0304-4076

VL - 34

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EP - 252

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

ER -

Simulated residuals

Résumé

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