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Diagnostics for IV Regressions

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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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Bibliographic 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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Web page: http://www.econ.cam.ac.uk/index.htm

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Cited by:
  1. Cervellati, Matteo & Sunde, Uwe, 2009. "Life Expectancy and Economic Growth: The Role of the Demographic Transition," CEPR Discussion Papers 7361, C.E.P.R. Discussion Papers.
  2. Stephen Martin & Nigel Rice & Peter C Smith, 2008. "The link between health care spending and health outcomes for the new English Primary Care Trusts," Working Papers 042cherp, Centre for Health Economics, University of York.
  3. 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).
  4. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002. "Instrumental variables and GMM: Estimation and testing," United Kingdom Stata Users' Group Meetings 2003 02, Stata Users Group.
  5. Stephen Knowles & P. Dorian Owen, 2010. "Which Institutions are Good for Your Health? The Deep Determinants of Comparative Cross-country Health Status," The Journal of Development Studies, Taylor and Francis Journals, vol. 46(4), pages 701-723.
  6. Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122486, European Association of Agricultural Economists.
  7. Schwab, Olaf & Bull, Gary & Maness, Thomas, 2005. "A mill-specific roundwood demand equation for southern and central Finland," Journal of Forest Economics, Elsevier, vol. 11(2), pages 95-106, September.
  8. Forgionne, Guisseppi & Guo, Zhiling, 2009. "Internal supply chain coordination in the electric utility industry," European Journal of Operational Research, Elsevier, vol. 196(2), pages 619-627, July.
  9. 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.
  10. Desbordes, Rodolphe, 2011. "The non-linear effects of life expectancy on economic growth," Economics Letters, Elsevier, vol. 112(1), pages 116-118, July.
  11. 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.
  12. Martin, Stephen & Rice, Nigel & Smith, Peter C., 2008. "Does health care spending improve health outcomes? Evidence from English programme budgeting data," Journal of Health Economics, Elsevier, vol. 27(4), pages 826-842, July.
  13. Wallentin, Bo & Agren, Anders, 2002. "Test of heteroscedasticity in a regression model in the presence of measurement errors," Economics Letters, Elsevier, vol. 76(2), pages 205-211, July.
  14. Ciani, Emanuele, 2012. "Informal adult care and caregivers' employment in Europe," Labour Economics, Elsevier, vol. 19(2), pages 155-164.

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