Journal of the American Statistical Association · 1972 · 23 citations · 0 references
Social SciencesEconomicsEconometricsFinancial EconometricsFinancial EconomicsHypothesis TestingMeasurement ErrorMicroeconometricsModel SpecificationStructural Equation ModelingTest SpecificationHeteroscedastic Error ModelsHeteroskedasticity ModelingMonte Carlo EstimationOrdinary Least SquaresSimultaneous Equation EstimationSmall-sample PropertiesSpecification ErrorsTest Statistics
Abstract Some tests for the specification errors of omitted variables, incorrect functional form, simultaneous equation problems, and heteroskedasticity previously developed by the author are further considered in this article. Monte Carlo methods are used to examine the statistical independence of the test statistics, the small sample power of the tests under various alternatives, and the effect on the tests of using ordinary least squares instead of Theil residuals.