Artificial Regressions

Russell Davidson

No 273508, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: Associated with every popular nonlinear estimation method is at least one “artificial” linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful for numerical optimization, testing hypotheses, and computing parameter estimates. Several existing artificial regressions are discussed and are shown to satisfy the defining conditions, and a new artificial regression for regression models with heteroskedasticity of unknown form is introduced.

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 26
Date: 2001-01
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Related works:
Working Paper: Artificial Regressions (2001)
Working Paper: Artificial Regressions (1999)
Working Paper: Artificial Regressions (1999)
Working Paper: Artificial Regressions (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273508

DOI: 10.22004/ag.econ.273508

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