Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models

Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models

Using the net effect of all relevant regressors omitted from a model to form its error term is incorrect because the coefficients and error term of such a model are non-unique. Non-unique coefficients cannot possess consistent estimators. Uniqueness can be achieved if; instead; one uses certain “suf...

Full description

Bibliographic Details
Main Authors: P.A.V.B. Swamy, Jatinder S. Mehta, I-Lok Chang
Format: Article
Language:English
Published: MDPI AG 2017-02-01
Series:Econometrics
Subjects:
endogenous variable
exogenous variable
time-varying coefficient
unique coefficient and error term
accurate estimation of bias-free component
Online Access:http://www.mdpi.com/2225-1146/5/1/8

Internet

http://www.mdpi.com/2225-1146/5/1/8

Similar Items