Specification Tests Based on Artificial Regressions

DOI10.2307/2289548MaRDI QIDQ3490790zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 1990

Full work available at URL http://hdl.handle.net/10419/189090

zbMATH Keywords

probit modelsDurbin-Wu-Hausman testspecification testslogitLagrange multiplier testsmoment testartificial regressionstests of binary-choice models

Mathematics Subject Classification ID

General nonlinear regression (62J02) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(16)

• Score tests when a nuisance parameter is unidentified under the null hypothesis
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Joint LM test for homoskedasticity in a one-way error component model
• Robust tests for heteroskedasticity in the one-way error components model
• GNR, MGR, and exact misspeclfication testing
• On improving the robustness and reliability of Rao's score test
• Model Specification Tests Based on Artificial Linear Regressions
• A specification test for models estimated by the Cragg estimator
• Testing under local misspecification and artificial regressions
• A robust test of specification based on order statistics
• Testing for normality in a probit model with double selection.
• Omitted variables in longitudinal data models
• A remark on a generalized specification test
• Applied regression analysis bibliography update 1990-91
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty

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