Regression Diagnostics and Specification Tests

Badi Baltagi

Chapter Chapter 8 in Solutions Manual for Econometrics, 2015, pp 185-212 from Springer

Abstract: Abstract Since H = PX is idempotent, it is positive semi-definite with b ′ H b ≥ 0 for any arbitrary vector b. Specifically, for b ′ = (1, 0, . . , 0) we get h11 ≥ 0. Also, H2 = H. Hence, $$\displaystyle{ \mathrm{h}_{11} =\sum \limits _{ \mathrm{j}=1}^{\mathrm{n}}\mathrm{h_{ 1j}}^{2} \geq \mathrm{h}_{ 11}^{2} \geq 0. }$$

Keywords: Regression Output; Reset Test; Recursive Residual; Idempotent Matrice; Information Matrix Test (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-642-54548-1_8

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