Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches

ISBN-13: 9780521424592 / Angielski / Miękka / 1991 / 268 str.

L. G. Godfrey; Andrew Chesher; Matthew Jackson

Opis

By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists.

Recenzje

'Written by one of the leading scholars in the field, the book is strongly recommended as an addition to the bookshelf especially for applied econometricians.' Joachim Wagner, Universität Hannover

Spis treści

Preface; 1. Approaches to testing the hypothesis of adequate specification; 2. Inequalities between criteria for testing hypotheses in linear regression models; 3. The Lagrange multiplier test and testing for misspecification: an extended analysis; 4. Tests for misspecification of regression equations; 5. Tests for misspecification of simultaneous equation models; 6. Tests for qualitative and limited dependent variable models; Bibliography; Index.