Impulse Response Functions after VAR and VECM
Impulse Response Functions or IRFs are used to study the effects of shocks or impulses in a VAR or VECM system. It traces out one unit or one standard deviation…
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April 13, 2022
Information Criteria (AIC/SIC) and Model Selection
Information Criteria are used to compare and choose among different models with the same dependent variable. Akaike Information Criterion (AIC) and Schwarz or Bayesian Information Criterion (SIC or BIC) are…
March 30, 2022
Wu-Hausman Test: Choosing between Fixed and Random Effects
The Wu-Hausman Test can be used to determine whether the Fixed Effects Model or Random Effects Model is more appropriate. To apply this test, we need to estimate both the…
March 25, 2022
Lagrange Multiplier Test: testing for Random Effects
The Breusch-Pagan Lagrange Multiplier Test is used to determine whether random effects are significant in panel data models. On the other hand, the Hausman Test is used to choose between…
March 24, 2022
Goodness-of-fit for Logit and Probit Models
The usual Goodness-of-fit statistics such as R-square and Adjusted R-square are not applicable in the case of Qualitative Response models. This is because the Ordinary Least Squares method of estimation…
March 15, 2022
Robust Standard Errors and OLS Standard Errors
The Standard Error of an estimate is the measure of the standard deviation of that coefficient. It helps to determine the reliability or precision of a coefficient estimated by the…
March 9, 2022
