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Specification testing when score test statistics are identically zero

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  • Lee, Lung-Fei
  • Chesher, Andrew

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 31 (1986)
Issue (Month): 2 (March)
Pages: 121-149

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Handle: RePEc:eee:econom:v:31:y:1986:i:2:p:121-149

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
  2. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers, CEMFI wp2004_0411, CEMFI.
  3. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 239-273, August.
  4. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  5. Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 86-100.
  6. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Banco de Espa�a Working Papers 0929, Banco de Espa�a.
  7. Jonathan Feinstein & Daniel McFadden, 1987. "The Dynamics of Housing Demand by the Elderly: Wealth, Cash Flow, and Demographic Effects," NBER Working Papers 2471, National Bureau of Economic Research, Inc.
  8. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics, EconWPA 9502004, EconWPA, revised 06 Jun 1995.
  9. William Greene & Colin McKenzie, 2012. "LM Tests for Random Effects," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 12-14, New York University, Leonard N. Stern School of Business, Department of Economics.
  10. Prosper Dovonon & Éric Renault, 2012. "Testing for Common GARCH Factors," CIRANO Working Papers 2012s-34, CIRANO.
  11. Matteo Bottai & Nicola Orsini, 2004. "Confidence intervals for the variance component of random-effects linear models," Stata Journal, StataCorp LP, StataCorp LP, vol. 4(4), pages 429-435, December.
  12. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
  13. Martijn van Hasselt, 2005. "Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models," Computing in Economics and Finance 2005, Society for Computational Economics 241, Society for Computational Economics.
  14. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.

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