Research of Model Specifications Tests Under Failure of Normality Assumption

被引：0

作者：

Volkova, V. M. ^{[1
]}

Pankina, V. L. ^{[1
]}

机构：

[1] Novosibirsk State Tech Univ, Novosibirsk, Russia

来源：

2014 12TH INTERNATIONAL CONFERENCE ON ACTUAL PROBLEMS OF ELECTRONICS INSTRUMENT ENGINEERING (APEIE) | 2014年

关键词：

Model specification; Ramsey RESET-test; J-test; REGRESSION-ANALYSIS;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Ramsey RESET-test and J-test are designed with the assumption of Gaussian distribution of the random component of the model. It is demonstrated that Ramsey RESET-test is robust to disturbance in the assumption of Gaussian distribution model errors except the distribution with heavy tail. The effects on J-test statistics distribution of model specifications residuals distribution are considered.

引用

页码：552 / 555

页数：4

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