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A specification test for models estimated by the Cragg estimator. (English) Zbl 1384.62247
Summary: This paper uses J. G. Cragg’s estimator [Econometrica 51, 751–763 (1983; Zbl 0513.62069)] to develop a new specification test. The test statistic is asymptotically distributed as an \(F\) and can be calculated from a particular linear artificial regression.
62J05 Linear regression; mixed models
62P20 Applications of statistics to economics
Full Text: DOI
[1] Boothe, P.; Mackinnon, J.G., A specification test for models estimated by GLS, The review of economics and statistics, 711-714, (1986)
[2] Cragg, J.G., More efficient estimation in the presence of heteroskedasticity of an unknown form, Econometrica, 51, 751-763, (1983) · Zbl 0513.62069
[3] Davidson, R.; Mackinnon, J.G., Model specification tests based on artificial linear regressions, International economic review, 25, 485-502, (1984) · Zbl 0554.62099
[4] Davidson, R.; Mackinnon, J.G., Testing for consistency using artificial regressions, ()
[5] Davidson, R.; Zin, S.E., The geometry of the generalised method of moments and one-step efficient estimation, (1988), Queen’s University Kingston, Ont, Unpublished manuscript
[6] Hausman, J., Specification tests in econometrics, Econometrica, 46, 1251-1272, (1978) · Zbl 0397.62043
[7] White, H., A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817-838, (1980) · Zbl 0459.62051
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