Beckert, Walter (2018) A note on specification testing in some regression models. Working Paper. Birkbeck, University of London, London, UK.
|
Text
Sargan.pdf - Published Version of Record Download (279kB) | Preview |
Official URL: http://www.bbk.ac.uk/ems/research/wp/2018/1809
Abstract
There is a useful but not widely known 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.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | endogeneity, identification, testing, artificial regression |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Walter Beckert |
| Date Deposited: | 03 Dec 2018 10:37 |
| Last Modified: | 02 Aug 2023 17:43 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/23625 |
Statistics
Downloads
Activity Overview
6 month trend
6 month trend
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
Edit/View Item