Econometrica Vol. 43 No. 5/6 1975
Note on a Large-Sample Result in Specification Analysis
Abstract
[If two linear models have different sets of explanatory variables and the same variable to be explained, the residual variance of the correct model (S extasciicircum2"n) has a smaller mean value than that of the incorrect one (t extasciicircum2"n). This note shows under fairly general conditions that S extasciicircum2"n extless t extasciicircum2"n will hold with probability arbitrarily close to 1 provided that the sample size n is large enough.]
- DOI
- 10.2307/1911335
- Volume
- 43
- Issue
- 5/6
- Pages
- 933
- Sources
- bibtex:phds-export.bib crossref openalex