Specification Tests in Econometrics

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Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables ⋮ A test of static equilibrium models and rates of return to quasi-fixed factors, with an application to the Bell system ⋮ Self-selection biases in correlational studies based on questionnaires ⋮ Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data ⋮ Censored regression quantiles ⋮ Testing strategies for model specification ⋮ Generalized method of moments specification testing ⋮ A zero-inflated ordered probit model, with an application to modelling tobacco consumption ⋮ Testing slope homogeneity in large panels ⋮ Robust estimation for structural spurious regressions and a Hausman-type cointegration test ⋮ Diagnostic testing for cointegration ⋮ Examining bias in estimators of linear rational expectations models under misspecification ⋮ Instrumental quantile regression inference for structural and treatment effect models ⋮ Exogeneity in structural equation models ⋮ Testing for jumps when asset prices are observed with noise -- a ``swap variance approach ⋮ Difference in difference meets generalized least squares: higher order properties of hypotheses tests ⋮ Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients ⋮ Panel data methods for fractional response variables with an application to test pass rates ⋮ A joint serial correlation test for linear panel data models ⋮ A logit model with endogenous explanatory variables and network externalities ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Tests for price endogeneity in differentiated product models ⋮ Assessing the business values of information technology and e-commerce independently and jointly ⋮ Dynamic panels with threshold effect and endogeneity ⋮ Multilevel and nonlinear panel data models ⋮ On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance ⋮ A remark on a generalized specification test ⋮ The J-test as a Hausman specification test ⋮ The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors ⋮ Pooling cross sections with unequal time-series lengths ⋮ Estimation with unbalanced panel data having covariate measurement error ⋮ On the performance of West's bubble test: a simulation approach ⋮ Transport costs and China's exports: some empirical evidences ⋮ The maximum number of parameters for the Hausman test when the estimators are from different sets of equations ⋮ Some useful equivalence properties of Hausman's test ⋮ Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations ⋮ Algebraic equivalences among Wald, LM and Hausman's tests in the linear regression model ⋮ Two misspecification tests for the simple switching regressions disequilibrium model ⋮ Generalized inverses and asymptotic properties of Wald tests ⋮ Relationships among estimators of triangular econometric models ⋮ Testing exogeneity in a probit model ⋮ Estimating the model with fixed and random effects by a robust method ⋮ A Hausman test for non-ignorability ⋮ To explain or to predict? ⋮ Specification tests and tests for overidentifying restrictions in panel data models with selection ⋮ Assessing the bias due to non-coverage of residential movers in the German microcensus panel: an evaluation using data from the socio-economic panel ⋮ Bounded-influence estimators for the Tobit model ⋮ Detecting random-effects model misspecification via coarsened data ⋮ The conditional logit estimator for unequal panels ⋮ A robust test of specification based on order statistics ⋮ Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets ⋮ Estimation of cost efficiency of Australian universities ⋮ Testing homogeneity of a large data set by bootstrapping ⋮ Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data ⋮ The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals ⋮ Testing for the exogeneity of real income in models of the poverty process ⋮ From association to causation via regression ⋮ A design-sensitive approach to fitting regression models with complex survey data ⋮ An algorithm to estimate time-varying parameter SURE models under different types of restriction ⋮ An illustration of Cox's non-nested testing procedure for logit and probit models ⋮ Financial crashes as endogenous jumps: estimation, testing and forecasting ⋮ Some aspects of measurement error in a censored regression model ⋮ The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models ⋮ On the testing of correlated effects with panel data ⋮ Moment condition tests for heavy tailed time series ⋮ Sensitivity of GLS estimators in random effects models ⋮ Testing for weak identification in possibly nonlinear models ⋮ The impact of a Hausman pretest on the size of a hypothesis test: the panel data case ⋮ GMM estimation of spatial autoregressive models with unknown heteroskedasticity ⋮ Inference of time-varying regression models ⋮ A diagnostic for bias in linear mixed model estimators induced by dependence between the random effects and the corresponding model matrix ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ Consistent model specification tests ⋮ A consistent test of functional form via nonparametric estimation techniques ⋮ Fixed, random, or something in between? A variant of Hausman's specification test for panel data estimators ⋮ Detecting multiple outliers with an application to R \& D productivity ⋮ Diagnostic testing and evaluation of maximum likelihood models ⋮ Cointegration in a historical perspective ⋮ The Hausman test and weak instruments ⋮ Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration ⋮ Detecting and testing causality in linear econometric models ⋮ The determinants of cumulative endogeneity bias in multivariate analysis ⋮ Quasi-experimental and experimental approaches to environmental economics ⋮ A unified approach to estimation and orthogonality tests in linear single-equation econometric models ⋮ Statistical challenges in the analysis of cosmic microwave background radiation ⋮ Grouped-data estimation and testing in simple labor-supply models ⋮ Testing the fixed effects restrictions? A Monte Carlo study of Chamberlain's minimum chi-squared test ⋮ Distributional specification tests against semiparametric alternatives ⋮ Multi-step estimation and forecasting in dynamic models ⋮ Testing procedures for detection of linear dependencies in efficiency models ⋮ Tests of bias in log-periodogram regression ⋮ A Hausman-type test to detect the presence of influential outliers in regression analysis ⋮ Misspecified models with dependent observations ⋮ Model specification tests. A simultaneous approach ⋮ Tobit models: A survey ⋮ Testing nested or non-nested hypotheses ⋮ Least absolute deviations estimation for the censored regression model ⋮ A general approach to Lagrange multiplier model diagnostics ⋮ Randomization, endogeneity and laboratory experiments: the role of cash balances in private value auctions ⋮ Nonparametric specification tests for conditional duration models

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