Specification error: A generalized test

Savin and White [14] suggested a simultaneous test for two sources of specification error. In this paper we generalize their test to cover all four common sources of errors in specification: functional form, autocorrelated disturbances, heteroscedasticity, and missing variables. The Savin-White test, as well as the standard tests for only one source of error, are special cases of the test developed. The generalized test is applied to data in an illustrative example.