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

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.

Author: L. G. Godfrey
Publisher: Cambridge University Press
Published: 07/26/1991
Pages: 268
Binding Type: Paperback
Weight: 0.80lbs
Size: 8.92h x 5.97w x 0.57d
ISBN: 9780521424592

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