A Study on Misspecification and Predictive Accuracy of Stochastic Linear Regression Models

  • Authors

    • C. Narayana
    • B. Mahaboob
    • B. Venkateswarlu
    • J. Ravi sankar
    • P. Balasiddamuni
    2018-10-02
    https://doi.org/10.14419/ijet.v7i4.10.21221
  • Stochastic linear regression model, OLS residuals vector, internally studentized residuals, test statistic, predictive accuracy BLUE, and OLS estimator.

  • The present study research article proposes a modified test for misspecification of the stochastic linear regression model and a new test for predictive accuracy of stochastic linear regression model. In addition to this modified Lagrange Multiplier (LM) test for misspecification of stochastic linear regression has been developed. In the derivation of the test statistics internally studentized residuals have been used. William A. Branch et.al [1] presented a stochastic non-linear self-referential model in which expectations are based on linear perceptions. I.sh. Torgovitski et.al [2] in this paper discussed the problem of raising the efficiency of the regression coefficients estimation as suggested an approach which allows as to reduce mathematical expectations of the square of deviation of the response prediction.

     

  • References

    1. [1] William A. Branch, Bruce Mc Gough, “Consistent expectations and misspecification in stochastic nonlinear economicsâ€, Journal of Economic dynamic and control, Vol. (29), issue 4, (2005), Pp: 659-676.

      [2] I. Sh. Torgovitski, P.I. Baumstein, “Accuracy estimation of prediction on the stochastic regression model at the restricted sampleâ€, Stochastic control, Proceeding of the second IFAC symposium, Vilnius, Lithuanian SSR, USSR, (1987),Pp: 19-23

      [3] Gregory L. Light (2010), “Regression model misspecification and Causation with pedagogical demonstrationâ€, Applied Mathematics Sciences, Vol. (4), (2010), Pp: 225-236.

      [4] Byron J.T. Morgan, “Applied stochastic Modellingâ€, CRC Press, (2008), 978-1-58488-666-2.

      [5] Berry L. Nelson, “Stochastic Modeling, Analysis and Simulationâ€, McGraw-Hill, (1995), 978-0070462137.

      [6] Taylor, H.M. and Samuel karlin, “An Introduction to Stochastic Modelingâ€, Academic Press, London, (1998), 978-0-12-684887.

      [7] Nafeez Umar, S. and Balasiddamuni, P. “Statistical Inference on Model Specification in Econometricsâ€, LAMBERT Academic Publishing, Germany, (2013).

      [8] Nelson, B.L, “Stochastic Modelingâ€, McGraw-Hill, New York, (1995), 0-486-47770-3.

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  • How to Cite

    Narayana, C., Mahaboob, B., Venkateswarlu, B., Ravi sankar, J., & Balasiddamuni, P. (2018). A Study on Misspecification and Predictive Accuracy of Stochastic Linear Regression Models. International Journal of Engineering & Technology, 7(4.10), 532-535. https://doi.org/10.14419/ijet.v7i4.10.21221