MISâ€ SPECIFICATION TESTING IN RETROSPECT
Aris Spanos ()
Journal of Economic Surveys, 2018, vol. 32, issue 2, 541-577
The primary objective of this paper is threefold. First, to undertake a retrospective view of Misâ€ Specification (Mâ€ S) testing, going back to the early 20th century, with a view to (i) place it in the broader context of modeling and inference and (ii) bring out some of its special features. Second, to call into question several widely used arguments undermining the importance of Mâ€ S testing in favor of relying on weak probabilistic assumptions in conjunction with generic robustness claims and asymptotic inference. Third, to bring out the crucial role of Mâ€ S testing in securing trustworthy inference results. This is achieved by extending/modifying Fisher's statistical framework with a view to draw a clear line between the modeling and the inference facets of statistical induction. The proposed framework untangles the statistical from the substantive (structural) model and focuses on how to secure the adequacy of the statistical model before probing for substantive adequacy. A case is made for using joint Mâ€ S tests based on customâ€ built auxiliary regressions with a view to enhance the effectiveness and reliability of probing for potential statistical misspecifications.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:32:y:2018:i:2:p:541-577
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0950-0804
Access Statistics for this article
More articles in Journal of Economic Surveys from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().