Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches (Paperback)

L.G. Godfrey

ISBN 10: 0521424593 / ISBN 13: 9780521424592

Editore: Cambridge University Press, Cambridge, 2005

Riguardo questo articolo

Paperback. Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Codice articolo 9780521424592

Dati bibliografici

• Titolo: Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches (Paperback)
• Editore: Cambridge University Press, Cambridge
• Data di pubblicazione: 2005
• Lingua: Inglese
• ISBN 10: 0521424593
• ISBN 13: 9780521424592
• Rilegatura: Paperback
• Condizione: new

Descrizione articolo

Riassunto

This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application.

Recensione

'An admirable attempt to provide a unified picture of the issues that have been raised in the testing literature, and to guide practitioners through the maze of different tests, to which they might wish to subject their models.' Russell Davidson, Journal of Economic Literature

'This book is a welcome addition to the Econometric Society Monograph Series and provides a comprehensive account of the Lagrange multiplier approach and other likelihood-based procedures to the problem of misspecification testing in econometrics.' M. H. Pesaren, The Economic Journal

'Written by one of the leading scholars in the field, the book is strongly recommended as an addition to the bookshelf especially for applied econometricians.' Joachim Wagner, Universität Hannover