MISSPECIFICATION TESTS IN ECONOMETRICS by L. G. Godfrey, Andrew Chesher, Matthew O. Jackson ( 9780521424592 )

Item Details

Title:

MISSPECIFICATION TESTS IN ECONOMETRICS
THE LAGRANGE MULTIPLIER PRINCIPLE AND OTHER APPROACHES

By:

L. G. Godfrey, Andrew Chesher, Matthew O. Jackson

Format:

Paperback

List price:

£38.00

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£33.25

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12.5% off

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£4.75

ISBN 10:

0521424593

ISBN 13:

9780521424592

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

26 July, 1991

Series:

Econometric Society Monographs No. 16

Pages:

268

Description:

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

Synopsis:

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.

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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