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.
Ключевые слова
econometric econometric models econometric specification time series эконометрическая модель эконометрический метод
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Econometrica.
1987.
Vol. 55.
No. 3.
P. 703-708.
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for
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Econometrica.
1980.
Vol. 48.
No. 4.
P. 817-838.
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