Testing for omitted variables in partially linear regression models

Lawrence Dacuycuy

Philippine Review of Economics, 2009, vol. 46, issue 2, 47-61

Abstract: This study conducts Monte Carlo simulation exercises to determine the finite sample properties of the Fan-Li test [1996] when the interest focuses on uncovering the impact of omitted variables on the semiparametric partially linear model (PLM). It essentially subjects the said test to various empirical situations such as the case of variable omissions in the linear or nonlinear components of the model or both. The study finds that the Fan-Li test achieves considerable power in rejecting the invalid null hypothesis. However, actual sizes still deviate from their respective nominal sizes.

Keywords: partially linear model; semiparametric models; nonparametric consistent tests (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://pre.econ.upd.edu.ph/index.php/pre/article/view/3/666 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:phs:prejrn:v:46:y:2009:i:2:p:47-61

Access Statistics for this article

More articles in Philippine Review of Economics from University of the Philippines School of Economics and Philippine Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by HR Rabe ().