English, Article, Journal or magazine article edition: Automated Stress Tests for Econometric Models Roy Epstein

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Bookmark: http://trove.nla.gov.au/version/176216
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Automated Stress Tests for Econometric Models
Author
  • Roy Epstein
Physical Description
  • preprint
Notes
  • A Stata program will be presented for improved quality control of econometric models. It is well known that reported econometric results often have unknown reliability because of selective reporting by the researcher. In particular, t-statistics are often uninformative or misleading when multiple models are estimated from the same data set. Econometric best practices should include routine stress tests to assess robustness of estimation results to reasonable perturbations of the model specification and underlying data. It is feasible to implement these tests as standard outputs from the statistical software. This information should lead to greater transparency and greater ability of others to interpret a given regression. The Stata program to be discussed can be used after commands that perform cross section, time series, and panel regression. It is easily extensible to include additional tests as desired.
  • RePEc:boc:fsug08:9
Language
  • English
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