A Benchmark Table For Significance Test in the Class of Adaptive Regression Model

Eric Im

No 199203, Working Papers from University of Hawaii at Manoa, Department of Economics

Abstract: We derive the precise analytic limit of the variance estimator of g, the concentrated ML estimator of gamma-naught in the adaptive regression model, and show that the limit and the original estimator generate virtually identical estimates of the variance of g and the corresponding significance test statistics. Then, based on the limit variance estimator we generate a table for the significance test of g in the adaptive regression model. The table may well be used for the same purpose even in the generalized model where g is extremely robust with respect to alternative specifications of the unknown covariance matrices of the parameter vector.

Pages: 14 pages
Date: 1992
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