Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches
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BeschreibungThis book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application.
InhaltsverzeichnisPreface; 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.
Pressestimmen'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
Untertitel: 'Esm'. Sprache: Englisch.
Verlag: CAMBRIDGE UNIV PR
Erscheinungsdatum: April 2005
Seitenanzahl: 268 Seiten