The SPEC option performs a model specification test. The null hypothesis for this test maintains that the errors are homoscedastic, independent of the regressors and that several technical assumptions ...

This is the sixth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...

We give a set of identifying conditions for p-dimensional (p ≥ 2) simultaneous equation systems (SES) with heteroscedasticity in the framework of Gaussian quasi-maximum likelihood (QML). Our ...

Beta regression offers a robust framework for analysing data that are confined to the unit interval, enabling researchers to model proportions, probabilities, and other fractional outcomes with ...

We consider the problem of estimating regression percentiles, for example the 75th conditional percentile of the response variable y given the covariate vector x. Asymmetric Least Squares (ALS) is a ...

One of the key assumptions of the ordinary regression model is that the errors have the same variance throughout the sample. This is also called the homoscedasticity ...