L. G. Godfrey
Misspecification Tests in Econometrics
The Lagrange Multiplier Principle and Other Approaches
Paperback Engels 1991 9780521424592Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9780521424592
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:268
Uitgever:Cambridge University Press
Serie:Econometric Society
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Inhoudsopgave
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.
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