In classic econometrics textbooks and classes, we often associate endogeneity to the correlation or relationship with the error term from a regressor. This is correct and fully agreed upon across authors and professors. But there’s some kind of new endogenous behavior that may not be correlated with the error/residual only, and it may be a […]
Endogenous co-regressor… Not what you think! Read More »
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
Box-Pierce Test of autocorrelation in Panel Data using Stata. Read More »
In the last month, while I was researching through the literature of the military expenditure and economic growth, I found a little statement from an article, which appointed one of the things less discussed in econometrics, such statement is: “The Holy Grail of applied econometrics is a tight theoretical model, which fits the data well.
The holy grail in econometrics. Read More »
