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Diagnostics for IV Regressions

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Author Info
Pesaran, M. H.
Taylor, L.W.

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Abstract

The use of residuals from the structural equations in a simultaneous-equations model can lead to misleading measures of association and to invalid diagnostic statistics for heteroscedasticity and functional form misspecifications. The issue of appropriate measures of goodness-of-fit for IV regression is addressed in Pesaran and Smith (1994). This paper considers the problem of appropriate construction of diagnostics for IV regressions, and proposes simple tests for functional form misspecifications and heteroscedasticity.

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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9709.

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Date of creation: May 1997
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Handle: RePEc:cam:camdae:9709

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  3. Eskander Alvi & Debasri Mukherjee & Ashraf Eid, 2007. "Do Patent Protection and Technology Transfer Facilitate R&D in Developed and Emerging Countries? A Semiparametric Study," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(2), pages 217-231, June. [Downloadable!] (restricted)
  4. Ali, Mubarik & Farooq, Umar, 2004. "Dietary Diversity And Rural Labor Productivity: Evidence From Pakistan," 2004 Annual meeting, August 1-4, Denver, CO 20310, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  5. Stephen Martin & Nigel Rice & Peter C Smith, 2007. "Further evidence on the link between health care spending and health outcomes in England," Working Papers 032cherp, Centre for Health Economics, University of York. [Downloadable!]
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This page was last updated on 2009-11-16.

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