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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CW2219_A_Note_on_Specification_Testing.pdf - Published Version of Record Download (371kB) | Preview |
Official URL: http://dx.medra.org/10.1920/wp.cem.2019.2219
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Walter Beckert |
| Date Deposited: | 20 May 2019 05:46 |
| Last Modified: | 02 Aug 2023 17:51 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/27565 |
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