Эксоцман
на главную поиск contacts

Specification Tests in Econometrics

Опубликовано на портале: 07-04-2004
Econometrica. 1978.  Vol. 46. No. 6. P. 1251-1272. 
Тематический раздел:
Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the simultaneous equation model are presented. An empirical model provides evidence that unobserved individual factors are present which are not orthogonal to the included right-hand-side variable in a common econometric specification of an individual wage equation.

Ссылки
текст статьи находится на сайте EconPapers:
http://econpapers.hhs.se/article/ecmemetrp/v_3A46_3Ay_3A1978_3Ai_3A6_3Ap_3A1251-71.htm
BiBTeX
RIS
Ключевые слова

См. также:
Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho
Journal of Finance. 2003.  Vol. 58. No. 1. P. 609-641. 
[Статья]
[Интернет-ресурс]
Christian Gourieroux, Alain Monfort, Alain Trognon, Eric Renault
Journal of Econometrics. 1987.  Vol. 34. No. 1-2. P. 5-32. 
[Статья]
Halbert L. White
Econometrica. 1980.  Vol. 48. No. 4. P. 817-838. 
[Статья]
John Aitchison, Samuel D. Silvey
Biometrika. 1957.  Vol. 44. No. 1/2. P. 131-140. 
[Статья]
Ray C. Fair
Journal of Political Economy. 1978.  Vol. 86. P. 45-61. 
[Статья]
Robert F. Engle, Kenneth F. Kroner
Econometric Theory. 1995.  Vol. 11. No. 1. P. 122-150. 
[Статья]