The linear regression model under test

This monograph puts the linear regression model under statistical scrutiny, with much of its work devoted to testing. It grew out of a research project at the Vienna Institute for Advanced Studies, and its authors credit several people who shaped the effort. Johann Maurer, who had championed the Institute's macroeconomic model of Austria, is named as the figure who first set the project in motion. Manfred Deistler's econometrics seminar supplied steady intellectual stimulation, and the visiting econometricians Adrian Pagan, Roberto Mariano and Garry Phillips, who were at the Institute from 1982 to 1984, contributed through lectures and advice.

A further group of collaborators handled practical and technical support. Petr Havlik, Karl Kontrus and Raimund Alt wrote the programs for the tests and the Monte Carlo experiments, and Havlik and Kontrus also read and critiqued drafts. Hans Schneeweiß commented on an earlier version of the manuscript, and Benedikt Pötscher helped with the mathematics behind the tests. Werner Ploberger, whose statistical expertise underpins many of the theoretical results, supplied most of the background for the chapter on testing for structural change.