Beckert, Walter (2020) A note on specification testing in some Structural Regression Models. Oxford Bulletin of Economics and Statistics 82 (3), pp. 686-695. ISSN 0305-9049.
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Official URL: https://doi.org/10.1111/obes.12342
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: | Article |
|---|---|
| Additional Information: | This is the peer reviewed version of the article, which has been published in final form at the link above. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Walter Beckert |
| Date Deposited: | 09 Aug 2019 14:53 |
| Last Modified: | 02 Aug 2023 17:53 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/28484 |
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