Arbeitspapier
A note on specification testing in some structural regression models
There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP22/19
Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Thema
endogeneity
identification
testing
artificial regression
identification
testing
artificial regression
Ereignis
Geistige Schöpfung
(wer)
Beckert, Walter
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2019
- DOI
-
doi:10.1920/wp.cem.2019.2219
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Beckert, Walter
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2019
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