A note on specification testing in some structural regression models

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

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Year of publication:	2019
Authors:	Beckert, Walter
Publisher:	London : Centre for Microdata Methods and Practice (cemmap)
Subject:	endogeneity \| identification \| testing \| artificial regression

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Series:	cemmap working paper ; CWP22/19
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.1920/wp.cem.2019.2219 [DOI] 1666281883 [GVK] hdl:10419/211115 [Handle] RePEc:ifs:cemmap:22/19 [RePEc]
Classification:	C21 - Cross-Sectional Models; Spatial Models ; c26 ; c36
Source:	EconStor

Persistent link: https://www.econbiz.de/10012146374