Advances in specification testing

Russell Davidson (1) , Victoria Zinde-Walsh (2)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 McGill University = Université McGill [Montréal, Canada]

Testing the specification of econometric models has come a long way from the t tests and F tests of the classical normal linear model. In this paper, we trace the broad outlines of the development of specification testing, along the way discussing the role of structural versus purely statistical models. Inferential procedures have had to advance in tandem with techniques of estimation, and so we discuss the generalized method of moments, non parametric inference, empirical likelihood and estimating functions. Mention is made of some recent literature, in particular, of weak instruments, non parametric identification and the bootstrap.

Domains: Economics and Finance; Humanities and Social Sciences

Russell Davidson, Victoria Zinde-Walsh. Advances in specification testing. Canadian Journal of Economics/Revue canadienne d'économique, 2017, 50 (5), pp.1595 - 1631. ⟨10.1111/caje.12309⟩. ⟨hal-01684821⟩