Working Paper

A Note on Specification Testing in Some Structural Regression Models

Authors

Walter Beckert

Published Date

16 May 2019

Type

Working Paper (CWP22/19)

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidentication tests, as a single articial 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.