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Misspecification tests in econometrics : the lagrange multiplier principle and other approaches / L. G. Godfrey.

By: Material type: TextTextLanguage: English Series: Econometric society monographs ; 16Publication details: Cambridge : Cambridge University Press, 1988.Description: xii, 252 páginas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 0521266165
Subject(s): DDC classification:
  • 330.015195 G63m  20
Other classification:
  • C01
Contents:
Chapter 1: Approaches to testing the hypothesis of adequate specification: 1.1. Introduction ; 1.2. Testing without an alternative hypothesis ; 1.3. Testing with an alternative hypothesis ; 1.4. The likelihood ratio, Wald and Lagrange multiplier tests ; 1.5. Alternative approaches to testing parametric hypotheses ; 1.6. Testing when the null hypothesis is not in parametric form ; 1.7. Summary and qualifications -- Chapter 2: Inequalities between criteria for testing hypotheses in linear regression models: 2.1. Introduction ; 2.2. Testing linear restrictions with unknown error covariance matrix ; 2.3. Testing linear restrictions with unknown error covariance matrix ; 2.4. Implications of the inequality ; 2.5. Models with lagged dependent variables ; 2.6. Models with non-normal disturbances ; 2.7. Models with non-linear restrictions ; 2.8. Summary and conclusions -- Chapter 3: The Lagrange multiplier test and testing for misspecification: an extended analysis: 3.1. Introduction ; 3.2. Alternative hypotheses leading to the same Lagrange multiplier statistic ; 3.3. Testing against several types of misspecification ; 3.4. Alternative forms of the Lagrange multiplier statistic ; 3.5. Non-standard cases ; 3.6. Conclusions -- Chapter 4: Tests for misspecification of regression equations: 4.1. Introduction ; 4.2. Tests for the omitted variables problem ; 4.3. Testing for incorrect functional form ; 4.4. Testing for autocorrelation ; 4.5. Testing for heteroscedasticity ; 4.6. Testing the constancy of the regression parameters ; 4.7. Testing for non-normality ; 4.8. Testing the independence of stochastic regressors and disturbances ; 4.9. The information matrix test ; 4.10. Data transformation tests ; 4.11. Concluding remarks and extensions -- Chapter 5: Tests for misspecification of simultaneous equation models: 5.1. Intorduction ; 5.2. Asymptotic tests of significance for instrumental variable estimates ; 5.3. Testing for serial correlation ; 5.4. Testing for heteroscedasticity ; 5.5. Tests of the independence of variables and disturbances ; 5.6. Tests of parameters constancy ; 5.7. Concluding remarks -- Chapter 6: Tests for qualitative and limited dependent variable models: 6.1. Introduction ; 6.2. Qualitative dependent variable models ; 6.3. Tobit models ; 6.4. Conclusions.
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LIBRO FISICO Biblioteca Principal 330.015195 G63m (Browse shelf(Opens below)) Available Mantener en colección. 29004018969989
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Incluye referencias bibliográficas (páginas 232-245) e índice.

Chapter 1: Approaches to testing the hypothesis of adequate specification: 1.1. Introduction ; 1.2. Testing without an alternative hypothesis ; 1.3. Testing with an alternative hypothesis ; 1.4. The likelihood ratio, Wald and Lagrange multiplier tests ; 1.5. Alternative approaches to testing parametric hypotheses ; 1.6. Testing when the null hypothesis is not in parametric form ; 1.7. Summary and qualifications -- Chapter 2: Inequalities between criteria for testing hypotheses in linear regression models: 2.1. Introduction ; 2.2. Testing linear restrictions with unknown error covariance matrix ; 2.3. Testing linear restrictions with unknown error covariance matrix ; 2.4. Implications of the inequality ; 2.5. Models with lagged dependent variables ; 2.6. Models with non-normal disturbances ; 2.7. Models with non-linear restrictions ; 2.8. Summary and conclusions -- Chapter 3: The Lagrange multiplier test and testing for misspecification: an extended analysis: 3.1. Introduction ; 3.2. Alternative hypotheses leading to the same Lagrange multiplier statistic ; 3.3. Testing against several types of misspecification ; 3.4. Alternative forms of the Lagrange multiplier statistic ; 3.5. Non-standard cases ; 3.6. Conclusions -- Chapter 4: Tests for misspecification of regression equations: 4.1. Introduction ; 4.2. Tests for the omitted variables problem ; 4.3. Testing for incorrect functional form ; 4.4. Testing for autocorrelation ; 4.5. Testing for heteroscedasticity ; 4.6. Testing the constancy of the regression parameters ; 4.7. Testing for non-normality ; 4.8. Testing the independence of stochastic regressors and disturbances ; 4.9. The information matrix test ; 4.10. Data transformation tests ; 4.11. Concluding remarks and extensions -- Chapter 5: Tests for misspecification of simultaneous equation models: 5.1. Intorduction ; 5.2. Asymptotic tests of significance for instrumental variable estimates ; 5.3. Testing for serial correlation ; 5.4. Testing for heteroscedasticity ; 5.5. Tests of the independence of variables and disturbances ; 5.6. Tests of parameters constancy ; 5.7. Concluding remarks -- Chapter 6: Tests for qualitative and limited dependent variable models: 6.1. Introduction ; 6.2. Qualitative dependent variable models ; 6.3. Tobit models ; 6.4. Conclusions.

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