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A Note on Specification Testing in Some Structural Regression Models

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  • Walter Beckert

    (Institute for Fiscal Studies and Birkbeck, University of London)

Abstract

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

Suggested Citation

  • Walter Beckert, 2019. "A Note on Specification Testing in Some Structural Regression Models," CeMMAP working papers CWP22/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:22/19
    as

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    File URL: https://www.ifs.org.uk/uploads/cemmap/CW2219_A_Note_on_Specification_Testing.pdf
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    References listed on IDEAS

    as
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