Misspecification Tests in Econometrics : The Lagrange Multiplier Principle and Other Approaches (Econometric Society Monographs)

Godfrey, L. G.

Cambridge University Press（1991/07発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 268 p.
• 言語 ENG
• 商品コード 9780521424592
• DDC分類 330.015195

基本説明

New in paperback. Hardcover was published in 1989. Provides theoretical analyses and convenient methods for the implementation of tests in applied work.

Full Description

Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve 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.

Contents

Preface; 1. Approaches to testing the hypothesis of adequate specification; 2. Inequalities between criteria for testing hypotheses in linear regression models; 3. The Lagrange multiplier test and testing for misspecification: an extended analysis; 4. Tests for misspecification of regression equations; 5. Tests for misspecification of simultaneous equation models; 6. Tests for qualitative and limited dependent variable models; Bibliography; Index.