- \varepsilon } is
normally distributed fails to hold, then a
functional form
misspecification issue arises: if the
model is
still estimated as a
probit model, the...
- is
generating the data. This
requires avoiding all the
sources of
misspecification mentioned above. One
approach is to
start with a
model in
general form...
- ~}
coefficients are zero is rejected, then the
model suffers from
misspecification. Harvey–Collier test Ramsey, J. B. (1969). "Tests for Specification...
- may
indicate model misspecification.
Substituting heteroskedasticity-consistent
standard errors does not
resolve this
misspecification,
which may lead to...
- of the
second moment of the errors, its
presence is
referred to as
misspecification of the
second order. The
econometrician Robert Engle was
awarded the...
-
professor of
econometrics at the
University of York. He is the
author of "
Misspecification tests in econometrics: the
Lagrange multiplier principle and other...
-
Versus Jointly Gaussian".
Edward L.
Melnick and
Aaron Tenenbein, "
Misspecifications of the
Normal Distribution", The
American Statistician,
volume 36...
-
postulated causal connections –
where the test
result might signal model misspecification. The
friction between factor analytic and path
analytic traditions...
-
variance structure specification. The trade-off of variance-structure
misspecification and
consistent regression coefficient estimates is loss of efficiency...
- G. (1988).
Misspecification Tests in Econometrics. Cambridge, UK: Cambridge. ISBN 0-521-26616-5. Godfrey, L. G. (1996). "
Misspecification Tests and Their...
