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CW2219_A_Note_on_Specification_Testing.pdf
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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
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.
Working Paper details
- DOI
- 10.1920/wp.cem.2019.2219
- Publisher
- The IFS
Suggested citation
Beckert, W. (2019). A Note on Specification Testing in Some Structural Regression Models. London: The IFS. Available at: https://ifs.org.uk/publications/note-specification-testing-some-structural-regression-models (accessed: 15 May 2024).
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