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A Note on Specification Testing in Some Structural Regression Models

Authors: Walter Beckert
Date: 16 May 2019
Type: cemmap Working Paper, CWP22/19
DOI: 10.1920/wp.cem.2019.2219

Abstract

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial 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.

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