The Implementation and Constructive Use of Misspecification Tests in Econometrics

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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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Contents

Testing for Serial Correlation in Dynamic Simultaneous Equation
67
The Properties and Constructive Use of Misspecification Tests
109
Finite Sample Properties of Misspecification Tests and the Multiple
176
Modifications of the Rainbow Test
233
The Distribution of Maximum Likelihood Corrections Under
261
The Sampling Performance of the Information Matrix Test
318
Index
380
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