A Note on Specification Testing in Some Structural Regression Models

Walter Beckert

Published on 16 May 2019

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidentication tests, as a single articial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidentication tests, as a single articial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

Authors

Walter Beckert

Research Associate Birkbeck, University of London

Walter is a Research Associate at the IFS, a Reader in Economics at Birkbeck, University of London and holds a position in the Academic Panel at CMA.