Model of Regression used to Analyze the Macroeconomic Correlations

Abstract The estimation of the regression function, can analyze a transformation of this function. The option for this transformation is grounded by the economic analysis which defines the parameters of interest. A procedure of adjustment is included, consisting of the elimination of the data placed at the limit of the support of the explanatory variables distribution. The adjustment can be inserted in the function as the form of a function with multiplying indicator. Key words: regression, estimation, regression function, linear regression, correlation There are many transformations which can be considered but we shall focus on a specific class characterized by the relation: In this formula , ( ) ( ) , and w ( z ) is a weight function which is either scalar, or vectorial and satisfies w ( z ) = 0 if , which is natural since g ( z ) is defined only if . The parameter of interest λ is scalar or vectorial. This class of transformation is justified by the properties of the resulting estimator λ and, meantime, by its relevance as regards many issues of applied econometrics, which are special situations of these analyses. Before entering into details, we notice the fact that this transformation does not insert the over-determination of the conditions on the variables distribution