The Implementation and Constructive Use of Misspecification Tests in Econometrics
L. G. Godfrey
Manchester University Press, 1992 - Business & Economics - 384 pages
This is a collection of papers co-authored by members of the Department of Economics and Related Studies and the Institute for Research in the Social Sciences at the University of York, which deals with methods for calculating asymptotically valid tests for use with samples of the size available in empirical economics. The papers also address the scope for using test statistics to determine the nature of specification errors and for providing suitable corrections to estimates or parameters.
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alternative model ARMA(p artificial regression assumption asymptotic distribution asymptotic theory asymptotically efficient asymptotically equivalent asymptotically independent asymptotically optimal asymptotically valid autocorrelation Bera Breusch calculated Chapter Chesher conditional moment test considered constructed correct specification corresponding covariance matrix critical values denoted dependent variables derived discussed disturbances Econometrica equation example explained sum F-statistic finite sample Godfrey heteroskedasticity homoskedastic inconsistent instruments Jarque joint test lagged large sample least squares linear regression LM test log-normal maximum likelihood estimates misspecification tests Newey nonnormality normal null hypothesis null model obtained OLS estimation OLS residuals omitted variables OPG variant Orme parameter plim portmanteau tests probit model rainbow test regression function regressors rejection frequencies reordering restrictions robust Section separate tests serial correlation series models specification error sum of squares super-models Table test procedure test statistic test variables tobit Tremayne truncated regression model unit root variable addition tests YLAG zero