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

Godfrey, L. G.

ISBN 10: 0521266165 / ISBN 13: 9780521266161

Published by Cambridge University Press, 1989

About this Item

Pen marking on front free endpaper. With very good dust jacket. Very Good hardcover with light shelfwear - NICE! Standard-sized. Seller Inventory # mon0000292748

Bibliographic Details

Title: Misspecification Tests in Econometrics: The ...

Publisher: Cambridge University Press

Publication Date: 1989

Binding: hardcover

Condition: Very Good

Dust Jacket Condition: Dust Jacket Included

About this title

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