Description: Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches by L.G. Godfrey By bringing together results from the growing literature in econometrics on misspecification testing, this study provides theoretical analyses and convenient methods for the implementation of tests in applied work. Although the main emphasis is on the Lagrange multiplier principle, several other approaches are discussed and the relationships among different methods are examined. The author reviews general checks of model adequacy that do not involve the formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. This wide-ranging but integrated book will be useful to a wide audience of applied and theoretical researchers, graduate students, and professional economists. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables. Table of Contents Preface; 1. Approaches to testing the hypothesis of adequate specification; 2. Inequalities between criteria for testing hypotheses in linear regression models; 3. The Lagrange multiplier test and testing for misspecification: an extended analysis; 4. Tests for misspecification of regression equations; 5. Tests for misspecification of simultaneous equation models; 6. Tests for qualitative and limited dependent variable models; Bibliography; Index. Review An admirable attempt to provide a unified picture of the issues that have been raised in the testing literature, and to guide practitioners through the maze of different tests, to which they might wish to subject their models. Russell Davidson, Journal of Economic Literature This book is a welcome addition to the Econometric Society Monograph Series and provides a comprehensive account of the Lagrange multiplier approach and other likelihood-based procedures to the problem of misspecification testing in econometrics. M. H. Pesaren, The Economic Journal Written by one of the leading scholars in the field, the book is strongly recommended as an addition to the bookshelf especially for applied econometricians. Joachim Wagner, Universitat Hannover Promotional "Headline" This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application. Description for Bookstore This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle. Description for Library This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle. Details ISBN0521424593 Author L.G. Godfrey Short Title MISSPECIFICATION TESTS IN ECON Pages 268 Publisher Cambridge University Press Series Esm Language English ISBN-10 0521424593 ISBN-13 9780521424592 Media Book Format Paperback Year 2005 Publication Date 2005-04-30 Imprint Cambridge University Press Subtitle The Lagrange Multiplier Principle and Other Approaches Place of Publication Cambridge Country of Publication United Kingdom DEWEY 330.015195 Affiliation University of York Illustrations Worked examples or Exercises DOI 10.1604/9780521424592 Series Number 16 Audience Professional and Scholarly UK Release Date 1991-07-26 AU Release Date 1991-07-26 NZ Release Date 1991-07-26 We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:91365865;
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ISBN-13: 9780521424592
Book Title: Misspecification Tests in Econometrics: the Lagrange Multiplier Principle and Other Approaches
Item Height: 238mm
Item Width: 159mm
Author: L. G. Godfrey
Format: Paperback
Language: English
Topic: Economics
Publisher: Cambridge University Press
Publication Year: 1991
Type: Textbook
Item Weight: 365g
Number of Pages: 268 Pages
