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Advances in specification testing
Author(s) -
Davidson Russell,
ZindeWalsh Victoria
Publication year - 2017
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/caje.12309
Subject(s) - computer science , parametric statistics , specification , inference , statistical hypothesis testing , econometrics , identification (biology) , parametric model , trace (psycholinguistics) , statistical inference , mathematics , statistics , artificial intelligence , linguistics , botany , biology , philosophy
Testing the specification of econometric models has come a long way from the t tests and F tests of the classical normal linear model. In this paper, we trace the broad outlines of the development of specification testing, along the way discussing the role of structural versus purely statistical models. Inferential procedures have had to advance in tandem with techniques of estimation, and so we discuss the generalized method of moments, non parametric inference, empirical likelihood and estimating functions. Mention is made of some recent literature, in particular, of weak instruments, non parametric identification and the bootstrap.