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Misspecification Tests in Econometrics

Author

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  • Godfrey,L. G.

Abstract

Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

Suggested Citation

  • Godfrey,L. G., 1991. "Misspecification Tests in Econometrics," Cambridge Books, Cambridge University Press, number 9780521424592.
    • Handle: RePEc:cup:cbooks:9780521424592
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    Cited by:

    1. Lubomir Lizal, 1999. "Does a Soft Macroeconomic Environment Induce Restructuring on the Microeconomic Level during the Transition Period? Evidence from Investment Behavior of Czech Enterprises," William Davidson Institute Working Papers Series 235, William Davidson Institute at the University of Michigan.
    2. Piper, Alan T., 2018. "Adult life satisfaction: largely (though not wholly) contemporaneous? A System General Method of Moments dynamic panel analysis," MPRA Paper 85601, University Library of Munich, Germany.
    3. Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 45-61.
    4. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M., 2005. "Yet another look at mutual fund tournaments," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 127-137, January.
    5. Piper, Alan T., 2013. "Happiness, Dynamics and Adaptation," MPRA Paper 52342, University Library of Munich, Germany.
    6. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
    7. Xiaoshan Chen & Ronald MacDonald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," Working Papers 2010_16, Business School - Economics, University of Glasgow.
    8. Hanson, Christopher S. & Schneider, Dona & Hill, Ann Marie, 2008. "Seed grants as a means of stimulating cancer research funding," Health Policy, Elsevier, vol. 88(2-3), pages 243-249, December.
    9. Piper, Alan T., 2014. "The Benefits, Challenges and Insights of a Dynamic Panel assessment of Life Satisfaction," MPRA Paper 59556, University Library of Munich, Germany.
    10. Alan Piper, 2023. "What Does Dynamic Panel Analysis Tell Us About Life Satisfaction?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 69(2), pages 376-394, June.
    11. Junttila, Juha, 2001. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Finland," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 577-599, October.
    12. Piper, Alan T., 2014. "An Investigation into Happiness, Dynamics and Adaptation," MPRA Paper 57778, University Library of Munich, Germany.
    13. Alan Piper, 2018. "Adult life satisfaction largely (though not wholly) contemporaneous," Discussion Papers 028, Europa-Universität Flensburg, International Institute of Management.
    14. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.

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