Model Specification Tests Based on Artificial Linear Regressions

DOI10.2307/2526210MaRDI QIDQ3217504zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 1984

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://ageconsearch.umn.edu/record/275162

zbMATH Keywords

artificial linear regressioncovariance matrix estimatesLagrange multiplier testsmisspecificationmodel specification testsnonlinear maximization algorithm

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(32)

• Regression-based specification tests for the multinomial logit model
• Diagnostic testing and evaluation of maximum likelihood models
• Double-length regressions for linear and log-linear regressions with AR(1) disturbances
• Simple LM tests of mis-specification for ordered logit models
• Testing linear and loglinear error components regressions against Box-Cox alternatives
• A specification test for models estimated by the Cragg estimator
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Misspecification tests and their uses in econometrics
• Specification test for a linear regression model with ARCH process
• Double-length regression tests for testing functional forms and spatial error dependence
• Artificial regression test diagnostics for impact measures in spatial models
• Misspecified discrete choice models and Huber-White standard errors
• Testing normality: a GMM approach
• Inference on transformed stationary time series
• Simple regression-based tests for spatial dependence
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Specification Tests Based on Artificial Regressions
• Generalized LM tests for functional form and heteroscedasticity
• Small sample properties of alternative forms of the Lagrange multiplier test
• Significance tests in the presence of model uncertainty and specification search
• An observation on regression-based specification tests
• DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE
• GNR, MGR, and exact misspeclfication testing
• Alternative approaches to testing by variable addition
• A non-nested test of level-differenced versus log-differenced stationary models
• Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
• On improving the robustness and reliability of Rao's score test
• Optimal choice of IHS-type of transformations for log-linear modeling
• Testing for spatial lag and spatial error dependence using double length artificial regressions
• A general approach to Lagrange multiplier model diagnostics
• A test for spatial autocorrelation in seemingly unrelated regressions
• User's guide

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