Specification (regression)
- Specification (regression)
In regression analysis and related fields such as econometrics, specification is the process of converting a theory into a regression model. This process consists of selecting an appropriate functional form for the model and choosing which variables to include. Model specification is one of the first steps in regression analysis. If an estimated model is misspecified, it will be biased and inconsistent. [Lee, Cheng Few; Lee, John C.; Lee, Alice C."Statistics for Business and Financial Economics." World Scientific Publishing Company. 2nd edition. (December 1999). p 718. ]
pecification error and bias
Specification error occurs when an independent variable is correlated with the error term. There are several different causes of specification error:
*incorrect functional form
*a variable omitted from the model may have a relationship with both the dependent variable and one or more of the independent variables (omitted-variable bias); [ [http://cemood.people.wm.edu/603.html Untitled ] ]
*an irrelevant variable may be included in the model
*the dependent variable may be part of a simultaneous equation (simultaneity bias)
*measurement errors may affect the independent variables.
Detection
The Ramsey RESET test can help test for specification error.
References
*cite journal|last = Thursby|first = Jerry G.|coauthors = Schmidt, Peter|title = Some Properties of Tests for Specification Error in a Linear Regression Model|journal = Journal of the American Statistical Association|volume = 72|issue = 359|date = Sep 1977|pages = 635–641|url = http://links.jstor.org/sici?sici=0162-1459%28197709%2972%3A359%3C635%3ASPOTFS%3E2.0.CO%3B2-Z&size=LARGE|month = Sep|year = 1977|doi = 10.2307/2286231
*cite journal|last = Sapra|first = Sunil|title = A regression error specification test (RESET) for generalized linear models|journal = Economics Bulletin|volume = 3|issue = 1|date = 2005|pages = 1–6|url = http://economicsbulletin.vanderbilt.edu/2005/volume3/EB-04C50033A.pdf
Wikimedia Foundation.
2010.
Look at other dictionaries:
Specification (disambiguation) — Specification may refer to several different concepts: * Specification (technical standard) an explicit set of requirements * Specification (legal concept) a legal concept of Roman Law * Specification (regression) refers to the practice of… … Wikipedia
Regression logistique — Régression logistique Pour les articles homonymes, voir Régression. La régression logistique est une technique statistique qui a pour objectif, à partir d’un fichier d’observations, de produire un modèle permettant de prédire les valeurs prises… … Wikipédia en Français
Regression (statistiques) — Régression (statistiques) Pour les articles homonymes, voir Régression. La régression est une méthode statistique très utilisée pour analyser la relation d une variable par rapport à une ou plusieurs autres. On recourt à une estimation des… … Wikipédia en Français
Régression mathématique — Régression (statistiques) Pour les articles homonymes, voir Régression. La régression est une méthode statistique très utilisée pour analyser la relation d une variable par rapport à une ou plusieurs autres. On recourt à une estimation des… … Wikipédia en Français
Régression logistique — Pour les articles homonymes, voir Régression. La régression logistique ou modèle logit est un modèle de régression binomiale. Comme pour tous le modèles de régression binomiale, il s agit de modéliser l effet d un vecteur de variables aléatoires… … Wikipédia en Français
Regression analysis — In statistics, regression analysis is a collective name for techniques for the modeling and analysis of numerical data consisting of values of a dependent variable (response variable) and of one or more independent variables (explanatory… … Wikipedia
Unit-weighted regression — In statistics, unit weighted regression is perhaps the easiest form of multiple regression analysis, a method in which two or more variables are used to predict the value of an outcome. At a conceptual level, the example of weight loss can… … Wikipedia
Deming regression — Deming regression. The red lines show the error in both x and y. This is different from the traditional least squares method which measures error parallel to the y axis. The case shown, with deviations measured perpendicularly, arises when x and… … Wikipedia
Local regression — LOESS, or locally weighted scatterplot smoothing, is one of many modern modeling methods that build on classical methods, such as linear and nonlinear least squares regression. Modern regression methods are designed to address situations in which … Wikipedia
Logistic regression — In statistics, logistic regression is a model used for prediction of the probability of occurrence of an event by fitting data to a logistic curve. It makes use of several predictor variables that may be either numerical or categorical. For… … Wikipedia