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A note on the comparative performance of the Zheng and Elisson-Elisson tests for omitted variables in regression models

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  • Lawrence Dacuycuy

    (Graduate School of Economics, Kyoto University)

Abstract

In this study, we compare the performance of the Zheng (1996) and Elisson-Elisson (2000) tests for omitted variable problems in parametric regression models. The study finds that the Elisson and Elisson test has better finite sample performance relative to the Zheng test. The results also confirm the suitability of the Elisson and Elisson test for testing models in multi dimensional settings.

Suggested Citation

  • Lawrence Dacuycuy, 2005. "A note on the comparative performance of the Zheng and Elisson-Elisson tests for omitted variables in regression models," Economics Bulletin, AccessEcon, vol. 3(21), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-05c10002
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    References listed on IDEAS

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    1. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
    2. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    3. Miles, Daniel & Mora, Juan, 2003. "On the performance of nonparametric specification tests in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 477-490, March.
    4. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
    5. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
    6. Yatchew,Adonis, 2003. "Semiparametric Regression for the Applied Econometrician," Cambridge Books, Cambridge University Press, number 9780521012263, October.
    7. Lawrence Dacuycuy, 2006. "On the finite sampling properties of the Zheng test for omitted and irrelevant variable problems," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 681-684.
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    Cited by:

    1. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.

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    More about this item

    Keywords

    nonparametric consistent tests;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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