Misspecification Tests in Econometrics
The Lagrange Multiplier Principle and Other Approaches
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Misspecification Tests in Econometrics by L. G. Godfrey
Book DescriptionMisspecification 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.
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Book DetailsISBN: 9780521424592
(228mm x 152mm x 15mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 26-Jul-1991
Country of Publication: United Kingdom
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