Illustrating Effects of Misspecification in Linear Regression
© Vassilis Hajivassiliou 2001-2021
Illustrating Effects of Misspecification in Linear Regression
Sample Size:
1000
Regressors: (between 2 and 7)
Values:
b1
b2
b3
b4
b5
b6
b7
Variances:
vx1
vx2
vx3
vx4
vx5
vx6
vx7
Correlations:
1
rx12
rx13
rx14
rx15
rx16
rx17
1
rx23
rx24
rx25
rx26
rx27
1
rx34
rx35
rx36
rx37
1
rx45
rx46
rx47
1
rx56
rx57
1
rx67
Error Structure:
Variance:
Type:
I.i.d.
AR1
MA1
Rho1
Theta1
