Model specification tests. A simultaneous approach

Anil K Bera, Carlos M. Jarque

Research output: Contribution to journalArticlepeer-review

Abstract

In econometrics, specification tests have been constructed to verify the validity of one specification at a time. It is argued that most of these tests are not, in general, robust in the presence of other misspecifications, so their application may result in misleading conclusions. Using the Lagrange Multiplier principle we develop efficient test procedures that are capable of testing a number of specifications simultaneously. These tests will 'confirm' the validity (or invalidity) of a general model requiring the estimates of the restricted model only. Through an extensive Monte Carlo experiment we study the performance of these tests and some commonly used one-directional tests. We also suggest a Multiple Comparison Procedure, to identify different sources of errors. This, we hope, will lead to a better specification of econometric models.

Original languageEnglish (US)
Pages (from-to)59-82
Number of pages24
JournalJournal of Econometrics
Volume20
Issue number1
DOIs
StatePublished - Oct 1982
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics

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