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Testing Separate Regression Models Subject to Specification Error

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  • Michael McAleer
  • Gordon Fisher

Abstract

Within the framework of linear regression, errors arising from artificial inclusion or exclusion of variables are considered with augmentations or restrictions on a given maintained hypothesis. This permits exploitation of relations between tests based on Wald and Lagrange Multiplier Principles. It is demonstrated that the standard F test, though based on biased estimators, is nevertheless valid. The traditional analysis of misspecification is applied to the linear specialization of tests for separate families of hypotheses. An empirical example is provided examining the effect of labour legislation on the growth of Canadian trade union membership, using annual data for 1925-72.

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  • Michael McAleer & Gordon Fisher, 1981. "Testing Separate Regression Models Subject to Specification Error," Working Paper 441, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:441
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    Cited by:

    1. A. D. Clare & R. Priestley & S. H. Thomas, 1997. "Stock return predictability or mismeasured risk?," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 679-687.
    2. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.

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