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Misspecification Tests in Econometrics


  • Godfrey,L. G.


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, May.
  • Handle: RePEc:cup:cbooks:9780521424592

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    References listed on IDEAS

    1. Prebisch, Raúl, 1950. "The economic development of Latin America and its principal problems," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 29973, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    2. Justin Yifu Lin, 2011. "New Structural Economics: A Framework for Rethinking Development," World Bank Research Observer, World Bank Group, vol. 26(2), pages 193-221, August.
    3. Justin Yifu Lin, 2012. "New Structural Economics : A Framework for Rethinking Development and Policy," World Bank Publications, The World Bank, number 2232.
    4. Lin, Justin Yifu, 2003. "Development Strategy, Viability, and Economic Convergence," Economic Development and Cultural Change, University of Chicago Press, vol. 51(2), pages 276-308, January.
    5. Dirk Willem te Velde & Justin Lin & Célestin Monga & Suresh D. Tendulkar & Alice Amsden & K. Y. Amoako & Howard Pack & Wonhyuk Lim, 2011. "DPR Debate: Growth Identification and Facilitation: The Role of the State in the Dynamics of Structural Change," Development Policy Review, Overseas Development Institute, vol. 29(3), pages 259-310, May.
    6. Lin, Justin Yifu, 1992. "Rural Reforms and Agricultural Growth in China," American Economic Review, American Economic Association, vol. 82(1), pages 34-51, March.
    7. Gene M. Grossman & Elhanan Helpman, 1996. "Electoral Competition and Special Interest Politics," Review of Economic Studies, Oxford University Press, vol. 63(2), pages 265-286.
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    Cited by:

    1. Lizal, L., 1999. "Does a Soft Macroeconomic Environment Induce Restructuring on the Microeconomic Level during the Transition Period? Evidence from Investment Behavior of Czech Enterprises," CERGE-EI Working Papers wp147, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
    3. 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.
    4. 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.
    5. Piper, Alan T., 2013. "Happiness, Dynamics and Adaptation," MPRA Paper 52342, University Library of Munich, Germany.
    6. Piper, Alan T., 2014. "An Investigation into Happiness, Dynamics and Adaptation," MPRA Paper 57778, University Library of Munich, Germany.
    7. repec:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0 is not listed on IDEAS

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