A Note on Specification  Testing in Some Structural Regression Models

A Note on Specification  Testing in Some Structural Regression Models

There exists a useful framework for jointly implementing Durbin–Wu–Hausman exogeneity and Sargan–Hansen overidentification tests, as a single artificial regression. This note sets out the framework for linear models and discusses its extension to nonlinear models. It also provides an empirical examp...

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Veröffentlicht in:Oxford bulletin of economics and statistics 2020-06, Vol.82 (3), p.686-695
1. Verfasser: Beckert, Walter
Format: Artikel
Sprache:eng
Schlagworte:
Linear analysis
Monte Carlo simulation
Nonlinear analysis
Specification
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Beschreibung
Zusammenfassung:There exists a useful framework for jointly implementing Durbin–Wu–Hausman exogeneity and Sargan–Hansen overidentification tests, as a single artificial regression. This note sets out the framework for linear models and discusses its extension to nonlinear models. It also provides an empirical example and some Monte Carlo results.
ISSN:0305-9049
1468-0084
DOI:10.1111/obes.12342