A Note on Specification Testing in Some Structural Regression Models |
| |
| Authors: | Walter Beckert |
| |
| Affiliation: | Department of Economics, Mathematics and Statistics, Birkbeck College, University of London, Malet Street, London, WC1E 7HX UK |
| |
| Abstract: | 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. |
| |
| Keywords: | |
|
|
