IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v61y1999i2p255-281.html

Diagnostics for IV Regressions

Author

Listed:
  • M. Hashem Pesaran
  • Larry W. Taylor

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 heterosedasticity and functional form misspecifications. In an important paper, Pagan and Hall (1983) suggest a few principals upon which asymptotically valid tests can be constructed, while the issue of appropriate measures of goodness‐of‐fit for IV regressions is addressed in Pesaran and Smith (1994). This paper is concerned with the optimal construction of diagnostics for IV regression, and examines the finite‐sample properties of several tests for functional form misspecifications and heteroscedasticity.

Suggested Citation

  • M. Hashem Pesaran & Larry W. Taylor, 1999. "Diagnostics for IV Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 255-281, May.
    • Handle: RePEc:bla:obuest:v:61:y:1999:i:2:p:255-281
    DOI: 10.1111/1468-0084.00128
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-0084.00128
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-0084.00128?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:61:y:1999:i:2:p:255-281. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.