John M. Riveros

Wooldridge Serial Correlation Test for Panel Data using Stata.

In this article, we will follow Drukker (2003) procedure to derive the first-order serial correlation test proposed by Jeff Wooldridge (2002) for panel data. It has to be mentioned that this test is considered a robust test, since works with lesser assumptions on the behavior of the heterogeneous individual effects. We start with the linear …

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Investigating Non-linear relationships with curvefit using Stata

While modelling specific phenomenon’s in economics, sometimes we might encounter a functional form which may not be linear in the explanatory variables. Assuming, that we still have linearity in the estimators, we have the capability to include in the regression, variables with powers. As an example, consider the following model: The last equation presents the …

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Box-Pierce Test of autocorrelation in Panel Data using Stata.

The test of Box & Pierce was derived from the article “Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models” in the Journal of the American Statistical Association (Box & Pierce, 1970). The approach is used to test first-order serial correlation, the general form of the test is given the statistic as: Where …

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Ramsey RESET Test on Panel Data using Stata

In regression analysis, we often check the assumptions of the econometrical model regressed, during this, one of the key assumptions is that the model has no omitted variables (and it’s correctly specified). In 1969, Ramsey (1969) developed an omitted variable test, which basically uses the powers of the predicted values of the dependent variable to …

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A brief mathematical revision of the Ramsey Model

We mentioned in the last post the Solow-Swan model in order to explain the importance of the specification related to theories and the regression analysis. In this post, I’m going to explain a little bit more the neoclassical optimization related to consumption, in this case, it’s going to be fundamental to the theory of Ramsey …

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