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A Note on Specification Testing in Some Structural Regression Models
Author(s) -
Beckert Walter
Publication year - 2020
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12342
Subject(s) - endogeneity , econometrics , monte carlo method , extension (predicate logic) , mathematics , regression , regression analysis , economics , statistics , computer science , programming language
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.