Model Specification Tests Based on Artificial Linear Regressions

DOI10.2307/2526210zbMath0554.62099OpenAlexW3122984808MaRDI QIDQ3217504

James G. MacKinnon, Russell Davidson

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

misspecificationLagrange multiplier testsmodel specification testsartificial linear regressioncovariance matrix estimatesnonlinear maximization algorithm

Mathematics Subject Classification ID

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

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