A Note on Specification Testing in Some Structural Regression Models

Walter Beckert ()

No 1809, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: There is a useful but not widely known framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidentification tests, as a single artificial regression. This note sets out the framework for linear models and discusses its extension to non-linear models.

Keywords: endogeneity; identification; testing; artificial regression. (search for similar items in EconPapers)
JEL-codes: C21 C26 C36 (search for similar items in EconPapers)
Date: 2018-08
New Economics Papers: this item is included in nep-ecm
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https://eprints.bbk.ac.uk/id/eprint/23625 First version, 2018 (application/pdf)

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