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Advances in specification testing

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  • Russell Davidson

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Victoria Zinde-Walsh

    (McGill University = Université McGill [Montréal, Canada])

Abstract

Testing the specification of econometric models has come a long way from the t tests and F tests of the classical normal linear model. In this paper, we trace the broad outlines of the development of specification testing, along the way discussing the role of structural versus purely statistical models. Inferential procedures have had to advance in tandem with techniques of estimation, and so we discuss the generalized method of moments, non parametric inference, empirical likelihood and estimating functions. Mention is made of some recent literature, in particular, of weak instruments, non parametric identification and the bootstrap.

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  • Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Post-Print hal-01684821, HAL.
    • Handle: RePEc:hal:journl:hal-01684821
    DOI: 10.1111/caje.12309
    Note: View the original document on HAL open archive server: https://amu.hal.science/hal-01684821
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