Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches

L. G. Godfrey

ISBN 10: 0521424593 / ISBN 13: 9780521424592

Published by Cambridge University Press, 1991

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Bibliographic Details

• Title: Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches
• Publisher: Cambridge University Press
• Publication Date: 1991
• Language: English
• ISBN 10: 0521424593
• ISBN 13: 9780521424592
• Binding: Paperback / softback
• Condition: New
• Weight: 430 grams

About this title

Synopsis

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.

Book Description

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.