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Misspecification Tests in Econometrics : The Lagrange Multiplier Principle and Other Approaches - L. G. Godfrey

Misspecification Tests in Econometrics

The Lagrange Multiplier Principle and Other Approaches


Published: 25th November 1991
RRP $52.95
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By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the 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. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists.

'An admirable attempt to provide a unified picture of the issues that have been raised in the testing literature, and to guide practitioners through the maze of different tests, to which they might wish to subject their models.' Russell Davidson, Journal of Economic Literature 'This book is a welcome addition to the Econometric Society Monograph Series and provides a comprehensive account of the Lagrange multiplier approach and other likelihood-based procedures to the problem of misspecification testing in econometrics.' M. H. Pesaren, The Economic Journal '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, Universitat Hannover

Approaches to testing the hypothesis-√°of adequate specification
Inequalities between criteria for testing hypotheses in linear regression models
The Lagrange multiplier test and testing for misspecification: an extended analysis
Tests for misspecification of regression equations
Tests for misspecification of simultaneous equation models
Tests for qualitative and limited dependent variable models
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521424592
ISBN-10: 0521424593
Series: Econometric Society Monographs, 16
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 268
Published: 25th November 1991
Country of Publication: GB
Dimensions (cm): 23.5 x 15.88  x 1.91
Weight (kg): 0.36