Misspecification Tests in Econometrics
The Lagrange Multiplier Principle and Other Approaches

This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application.

L. G. Godfrey (Author)

9780521424592, Cambridge University Press

Paperback, published 26 July 1991

268 pages
23.8 x 15.9 x 1.9 cm, 0.365 kg

'Written by one of the leading scholars in the field, the book is strongly recommended as an addition to the bookshelf especially for applied econometricians.' Joachim Wagner, Universität Hannover

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.

Preface
1. Approaches to testing the hypothesis of adequate specification
2. Inequalities between criteria for testing hypotheses in linear regression models
3. The Lagrange multiplier test and testing for misspecification: an extended analysis
4. Tests for misspecification of regression equations
5. Tests for misspecification of simultaneous equation models
6. Tests for qualitative and limited dependent variable models
Bibliography
Index.

Subject Areas: Econometrics [KCH]