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Model Specification Tests Based on Artificial Linear Regressions

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  • Davidson, Russell
  • MacKinnon, James G

Abstract

This paper develops an extremely general procedure for performing a wide variety of model specification tests by running artificial linear regressions. Inference may then be based either on a Lagrange Multiplier statistic from the procedure, or on conventional asymptotic t or F tests based on the artificial regressions. This procedure allows us to develop non-nested hypothesis tests for any set of models which attempt to explain the same dependent variable(s), even when the error specifications of the competing models differ.
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  • Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
    • Handle: RePEc:ier:iecrev:v:25:y:1984:i:2:p:485-502
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    1. Engle, Robert F, 1979. "A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle," The Warwick Economics Research Paper Series (TWERPS) 156, University of Warwick, Department of Economics.
    2. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, May.
    3. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    4. Cooper, J Phillip, 1972. "Asymptotic Covariance Matrix of Procedures for Linear Regression in the Presence of First- Order Autoregressive Disturbances," Econometrica, Econometric Society, vol. 40(2), pages 305-310, March.
    5. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    6. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
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    More about this item

    JEL classification:

    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • L22 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Organization and Market Structure
    • L68 - Industrial Organization - - Industry Studies: Manufacturing - - - Appliances; Furniture; Other Consumer Durables

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