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The Implementation and constructive use of misspecification tests in econometrics

Author: L G Godfrey
Publisher: Manchester, UK ; New York : Manchester University Press ; New York, NY, USA : Distributed exclusively in the USA and Canada by St. Martin's Press, ©1992.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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A collection of papers co-authored by members of the Department of Economics and Related Studies and the Institute for Research in the Social Sciences at the University of York, which deals with  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: L G Godfrey
ISBN: 0719032741 9780719032745
OCLC Number: 25025264
Description: 384 pages ; 24 cm
Contents: Misspecification tests for univariate time series models and their applications in econometrics / L.G. Godfrey and A.R. Tremayne --
Testing for serial correlation in dynamic simultaneous equation models : alternative asymptotic procedures and their small sample performance / S.P. Burke and L.G. Godfrey --
The properties and constructive use of misspecification tests for multiple regression models / Alison Eastwood and L.G. Godfrey --
Finite sample properties of misspecification tests and the multiple comparison procedure / Alison Eastwood and L.G. Godfrey --
Modifications of the rainbow test / S.P. Burke, L.G. Godfrey and Michael McAleer --
The distribution of maximum likelihood corrections under local misspecification ; The sampling performance of the information matrix test / C.D. Orme.
Responsibility: edited by L.G. Godfrey.

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