Model specification tests. A simultaneous approach

DOI10.1016/0304-4076(82)90103-8zbMath0517.62108OpenAlexW1489057355WikidataQ56806348 ScholiaQ56806348MaRDI QIDQ1053408

Carlos M. Jarque, Anil K. Bera

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90103-8

zbMATH Keywords

robustnessnormalityserial independencemodel specification testshomoscedasticitysimultaneous approachLagrange multiplier principle

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Paired and multiple comparisons; multiple testing (62J15)

Related Items (27)

Testing strategies for model specification ⋮ Simulataneous specicication test in a binary logit ⋮ NON-LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY ⋮ Misspecification tests and their uses in econometrics ⋮ Specification test for a linear regression model with ARCH process ⋮ A joint test for serial correlation and heteroscedasticity ⋮ Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models ⋮ A structured variational learning approach for switching latent factor models ⋮ Statistics for image sharpening ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ A test of the normality assumption in ordered probit model ⋮ Hypothesis testing based on a vector of statistics ⋮ Testing for serial correlation in hierarchical linear models ⋮ Testing exclusion restrictions for a misspecified Tobit model ⋮ Tests for the error component model in the presence of local misspecification ⋮ Monotonic improved critical values for two \(\chi^{2}\) asymptotic criteria ⋮ The information matrix test in the linear regression with ARMA errors ⋮ On the application of robust, regression-based diagnostics to models of conditional means and conditional variances ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Robust tests for heteroskedasticity in the one-way error components model ⋮ SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL ⋮ Approximate maximum likelihood estimation in linear regression ⋮ Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models ⋮ Double-length regressions for linear and log-linear regressions with AR(1) disturbances ⋮ A test of normality using nonparametrlic residuals ⋮ Validation Of Long-Term Equity return Models For Equity-Linked Guarantees ⋮ Should normality be a normal assumption?

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• Specification Tests in Econometrics
• A Test for Normality of Observations and Regression Residuals
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