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Lehmann, E.L. (1959) Testing Statistical Hypotheses
Wiley.
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Godfrey, L.G. (1988) Misspecification Tests in
Econometrics: The Lagrange Principle and Other Approaches
Cambridge University Press.
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Engle, R. (1984) ``Wald, Likelihood Ratio and Lagrange
Multiplier Tests in Econometrics'' Handbook of Econometrics
Volume 2, 775-826.
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Gourieroux, C. and A. Monfort (1994) ``Testing Non-Nested
Hypotheses'' in R. Engle and D. McFadden (eds.)
Handbook of Econometrics volume 4, Elsevier, Amsterdam.
- 5
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Andrews, D. (1988) ``Chi-Square Diagnostic Tests for Econometric
Models'' Journal of Econometrics 37 135-156.
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Andrews, D. (1988) ``Chi-Square Diagnostic Tests for Econometric
Models: Theory'' Econometrica 56 1419-1453.
- 7
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Breusch, T.S. and A.R. Pagan (1980) ``The Lagrange Multiplier
Test and its Applications to Model Specification in Econometrics''
Review of Economic Studies XI VII 239-253.
- 8
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Engle, R. (1982) ``A General Approach to Lagrange Multiplier
Model Diagnostics'' Journal of Econometrics 20
83-104.
- 9
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Pagan, A. and A.D. Hall (1983) ``Diagnostic Tests as Residual
Analysis'' Econometric Reviews 2 159-218.
- 10
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Bierens, H. (1990) ``A Consistent Conditional Moment Test
of Functional Form'' Econometrica 58-6 1443-1458.
- 11
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White, H. (1987) ``Specification Testing in Dynamic Models''
in T. Bewley (ed.) Advances in Econometrics Cambridge
University Press.
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Hausman, J. (1978) ``Specification Tests in Econometrics''
Econometrica 46 1251-1271.
- 13
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Holly, A. (1982) ``A Remark on Hausman's Specification Test''
Econometrica 50 749-759.
- 14
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MacKinnon, J.G. (1983) ``Model Specification Tests Against
Non-Nested Alternatives'' Econometric Reviews 2 85-110.
- 15
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Tauchen, G. (1985) ``Diagnostic Testing and Evaluation of
Maximum Likelihood Models'' Journal of Econometrics
30 415-443.
- 16
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Newey, W.K. (1985) ``Maximum Likelihood Specification Testing
and Conditional Moment Tests'' Econometrica 53 1047-1070.
- 17
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Newey, W.K. (1985) ``Generalized Method of Moments Specification
Testing'' Journal of Econometrics 29 229-256.
- 18
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Ruud, P.A. (1984) ``Tests of Specification in Econometrics''
Econometric Reviews 3 211-242.
Efficiency Bounds
John Rust
2001-01-09