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    A note on specification testing in some regression models

    Beckert, Walter (2018) A note on specification testing in some regression models. Working Paper. Birkbeck, University of London, London, UK.

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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Walter Beckert
    Date Deposited: 03 Dec 2018 10:37
    Last Modified: 15 Feb 2021 11:46
    URI: https://eprints.bbk.ac.uk/id/eprint/23625

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