The Sensitivity of some General Checks to Omitted Variables in the Linear Model
AbstractThis paper examines the usefulness of H. White's (1982) information matrix test and test for heteroskedasticity of unspecified form as general checks of adequacy in the context of linear models. Asymptotic analysis and Monte Carlo results are provided, with the latter covering a number of general misspecification tests. Comments are made on the value of testing for normality. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 92/3.
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- Godfrey, L G & Orme, C D, 1994. "The Sensitivity of Some General Checks to Omitted Variables in the Linear Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(2), pages 489-506, May.
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