A Note on Specification Testing in Some Structural Regression Models

Walter Beckert

Oxford Bulletin of Economics and Statistics, 2020, vol. 82, issue 3, 686-695

Abstract: There exists a useful 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 nonlinear models. It also provides an empirical example and some Monte Carlo results.

Date: 2020
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