Misspecification Tests Econometrics (Econometric Society Monographs)

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9780521424592: Misspecification Tests Econometrics (Econometric Society Monographs)
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By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists.

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By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work.

Review:

"This monograph is an admirable attempt to provide a unified picture of the issues that have been raised in the testing literature, and to guide practitioners through the maze of different tests to which they might wish to subject their models." Russell Davidson, Journal of Economic Literature

"...an extremely valuable and clearly-written guide to a rapidly growing field, that I can recommend alike to practitioners and to students." Russell Davidson, Journal of Economic Literature

"This book is a welcome addition to the Econometric Society Monograph Series and provides a comprehensive account of the Lagrange multiplier approach and other likelihood-based procedures to the problem of misspecification testing in econometrics." M.H. Pesaran, The Economic Journal

"...an excellent review of the misspecification tests, with special emphasis on the LM principle. Developoments in the area of misspecification tests are proceeding at a rapid pace as evidenced by recent publications in refereed journals in statistics, time series, biometrics, technometrics, and econometrics." Mathematical Reviews

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9780521266161: Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches (Econometric Society Monographs)

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ISBN 10:  0521266165 ISBN 13:  9780521266161
Publisher: Cambridge University Press, 1989
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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2005. Paperback. Condition: New. Language: English . Brand New Book ***** Print on Demand *****.Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. Seller Inventory # AAV9780521424592

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Book Description CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2005. Paperback. Condition: New. Language: English. Brand new Book. Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. Seller Inventory # AAV9780521424592

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Book Description Cambridge University Press. Paperback. Condition: New. 268 pages. Dimensions: 8.9in. x 6.0in. x 0.9in.By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Seller Inventory # 9780521424592

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