On the sensitivity of the restricted least squares estimators to covariance misspecification
Alan Wan (),
Guohua Zou and
Econometrics Journal, 2007, vol. 10, issue 3, pages 471-487
Traditional econometrics has long stressed the serious consequences of non-spherical disturbances for the estimation and testing procedures under the spherical disturbance setting, that is, the procedures become invalid and can give rise to misleading results. In practice, it is not unusual, however, to find that the parameter estimates do not change much after fitting the more general structure. This suggests that the usual procedures may well be robust to covariance misspecification. Banerjee and Magnus (1999) proposed sensitivity statistics to decide if the Ordinary Least Squares estimators of the coefficients and the disturbance variance are sensitive to deviations from the spherical error assumption. This paper extends their work by investigating the sensitivity of the restricted least squares estimator to covariance misspecification where the restrictions may or may not be correct. Large sample results giving analytical evidence to some of the numerical findings reported in Banerjee and Magnus (1999) are also obtained. Copyright Royal Economic Society 2007
References: Add references at CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00217.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:3:p:471-487
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().