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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, April.
  • 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. 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., 2013. "Happiness, Dynamics and Adaptation," MPRA Paper 52342, University Library of Munich, Germany.
    5. 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.
    6. 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.
    7. Piper, Alan T., 2014. "An Investigation into Happiness, Dynamics and Adaptation," MPRA Paper 57778, University Library of Munich, Germany.
    8. 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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