On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi

Jeffrey M. Wooldridge

Econometric Theory, 1994, vol. 10, issue 02, pages 409-418

Abstract: In this comment on Gurmu and Trivedi's I show how their generalized linear model (GLM) approach relates to other work in econometrics on specification testing in the linear exponential family. In addition to shedding light on the relationship between the statistics and econometrics literatures on testing in quasi-likelihood frameworks, this comparison reveals some important limitations of GLM as a general framework for devising specification tests.

Date: 1994

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