Automated Stress Tests for Econometric Models
Roy Epstein ()
Additional contact information
Roy Epstein: Department of Finance, Boston College
Fall North American Stata Users' Group Meetings 2008 from Stata Users Group
A Stata program will be presented for improved quality control of econometric models. It is well known that reported econometric results often have unknown reliability because of selective reporting by the researcher. In particular, t-statistics are often uninformative or misleading when multiple models are estimated from the same data set. Econometric best practices should include routine stress tests to assess robustness of estimation results to reasonable perturbations of the model specification and underlying data. It is feasible to implement these tests as standard outputs from the statistical software. This information should lead to greater transparency and greater ability of others to interpret a given regression. The Stata program to be discussed can be used after commands that perform cross section, time series, and panel regression. It is easily extensible to include additional tests as desired.
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boc:fsug08:9
Access Statistics for this paper
More papers in Fall North American Stata Users' Group Meetings 2008 from Stata Users Group Contact information at EDIRC.
Series data maintained by Christopher F Baum ().