BIROn - Birkbeck Institutional Research Online

    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.

    [img]
    Preview
    Text
    CW2219_A_Note_on_Specification_Testing.pdf - Published Version of Record

    Download (371kB) | Preview

    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Walter Beckert
    Date Deposited: 20 May 2019 05:46
    Last Modified: 09 Jun 2021 11:06
    URI: https://eprints.bbk.ac.uk/id/eprint/27565

    Statistics

    Downloads
    Activity Overview
    333Downloads
    157Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item