Misspecification Tests Econometrics: The Lagrange Multiplier Principle and Other Approaches: 16 (Econometric Society Monographs, Series Number 16)

Godfrey

ISBN 10: 0521424593 / ISBN 13: 9780521424592

Published by Cambridge University Press, 1991

The book has been read, but is in excellent condition. Pages are intact and not marred by notes or highlighting. The spine remains undamaged. Seller Inventory # GOR012422045

Synopsis:

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.

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, Universität Hannover

Bibliographic Details

Title: Misspecification Tests Econometrics: The ...
Publisher: Cambridge University Press
Publication Date: 1991
Binding: Paperback
Condition: Very Good