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    A note on specification testing in some structural regression models

    Beckert, Walter (2019) A note on specification testing in some structural regression models. Working Paper. Centre for Microdata Methods and Practice, London, UK.

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    Abstract

    There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidentification tests, as a single artificial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: cemmap working paper CWP22/19
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Walter Beckert
    Date Deposited: 20 May 2019 05:46
    Last Modified: 31 Jul 2019 23:20
    URI: http://eprints.bbk.ac.uk/id/eprint/27565

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