Model Specification Tests and Artificial Regressions

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Specification Tests in Econometrics

1978 • 17,234 citations

An Analysis of Transformations

1964 • 13,718 citations

Limited-dependent and qualitative variables in econometrics

1983 • 13,615 citations

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

1980 • 7,455 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

Spurious regressions in econometrics

1974 • 6,029 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

1969 • 3,017 citations

A Leisurely Look at the Bootstrap, the Jackknife, and Cross-Validation

1983 • 2,903 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Stochastic Simulation

1987 • 1,835 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties

1985 • 1,446 citations

Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

1978 • 1,361 citations

TESTING FOR AUTOCORRELATION IN DYNAMIC LINEAR MODELS*

1978 • 1,343 citations

Testing linearity against smooth transition autoregressive models

1988 • 1,322 citations

Alternative Tests of Independence between Stochastic Regressors and Disturbances

1973 • 1,263 citations

Errors in Variables

1954 • 1,201 citations

Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables

1970 • 1,179 citations

Regression-based tests for overdispersion in the Poisson model

1990 • 1,110 citations

Further Results on Tests of Separate Families of Hypotheses

1962 • 996 citations

Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

1978 • 729 citations

Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation

1948 • 696 citations

The Encompassing Principle and its Application to Testing Non-Nested Hypotheses

1986 • 619 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

On the General Problem of Model Selection

1974 • 458 citations

The Lagrangian Multiplier Test

1959 • 441 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note

1970 • 390 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions

1963 • 384 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Diagnostic tests for models based on individual data: A survey

1989 • 371 citations

THREE ECONOMETRIC METHODOLOGIES: A CRITICAL APPRAISAL¹

1987 • 371 citations

The nonlinear two-stage least-squares estimator

1974 • 361 citations

Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation

1979 • 360 citations

Tests for model specification in the presence of alternative hypotheses

1983 • 355 citations

A Tukey nonadditivity-type test for time series nonlinearity

1985 • 339 citations

Instrumental Variables Regression with Independent Observations

1982 • 339 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Convenient specification tests for logit and probit models

1984 • 300 citations

Testing for multiplicative heteroskedasticity

1978 • 283 citations

Transforming the Dependent Variable in Regression Models

1990 • 269 citations

Generalized Logistic Models

1988 • 254 citations

On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman

1981 • 249 citations

Alternative procedures and associated tests of significance for non-nested hypotheses

1981 • 241 citations

Residual analysis in the grouped and censored normal linear model

1987 • 225 citations

Some Tests of Dynamic Specification for a Single Equation

1980 • 221 citations

On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships

1986 • 199 citations

Testing for Consistency using Artificial Regressions

1989 • 187 citations

The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

1987 • 182 citations

Model specification tests against non-nested alternatives

1983 • 172 citations

The encompassing approach in econometrics

1984 • 166 citations

Testing linearity in univariate, time series models

1988 • 148 citations

A Test for Functional Form Against Nonparametric Alternatives

1992 • 145 citations

Testing Linear and Log-Linear Regressions for Functional Form

1981 • 141 citations

Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

1991 • 139 citations

The small-sample performance of the information-matrix test

1990 • 133 citations

On asymptotically optimal tests of composite hypotheses

1970 • 127 citations

Testing normality in econometric models

1983 • 123 citations

Invariance, Nonlinear Models, and Asymptotic Tests

1991 • 121 citations

Simulation Methodology for Statisticians, Operations Analysts, and Engineers (1988)

2017 • 119 citations

The Covariance Matrix of the Information Matrix Test

1984 • 117 citations

Some Large-Sample Tests for Nonnormality in the Linear Regression Model

1980 • 111 citations

Some aspects of testing non-nested hypotheses

1983 • 111 citations

Testing Linear and Loglinear Regressions against Box-Cox Alternatives

1985 • 107 citations

The information matrix test

1983 • 101 citations

Asymptotic Expansions of the Information Matrix Test Statistic

1991 • 100 citations

Model Specification Tests Based on Artificial Linear Regressions

1984 • 98 citations

A Test for Misspecification in the Censored Normal Model

1981 • 97 citations

Alternative non-nested specification tests of time-series investment models

1988 • 97 citations

Variable Addition and Lagrange Multiplier Tests for Linear and Logarithmic Regression Models

1988 • 94 citations

The Bonferroni and the Scheffe Multiple Comparison Procedures

1980 • 89 citations

Regression Analysis When the Variance of the Dependent Variable is Proportional to the Square of its Expectation

1973 • 86 citations

Useful invariance results for generalized regression models

1980 • 77 citations

The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model

1985 • 74 citations

Asymptotic relative efficiency of the classical test statistics under misspecification

1989 • 70 citations

The Information Matrix Test for the Linear Model

1987 • 61 citations

Testing the specification of multivariate models in the presence of alternative hypotheses

1983 • 59 citations

The Interpretation of Test Statistics

1985 • 53 citations

Alternative forms and properties of the score test

1986 • 49 citations

The ET Dialogue: A Conversation on Econometric Methodology.

1990 • 48 citations

The finite-sample distributions of heteroskedasticity robust Wald statistics

1991 • 47 citations

An Approach to Testing Linear Times Series Models

1981 • 45 citations

An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses

1990 • 44 citations

A Test Strategy for Discriminating Between Autocorrelation and Misspecification in Regression Analysis

1981 • 42 citations

A Simplified Version of the Differencing Test

1985 • 41 citations

The size bias of White's information matrix test

1987 • 40 citations

A note on the Lagrange multiplier and F-statistics for two stage least squares regressions

1990 • 36 citations

Boostrapping the Probability Distribution of Peak Electricity Demand

1987 • 33 citations

A size correction to the Lagrange multiplier test for heteroskedasticity

1988 • 29 citations

Data Transformation Tests

1986 • 27 citations

On the Use of Distributional Mis-Specification Checks in Limited Dependent Variable Models

1989 • 25 citations

Discriminating Between Autocorrelation and Misspecification in Regression Analysis: An Alternative Test Strategy

1987 • 25 citations

Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification

1987 • 24 citations

Econometrics of Structural Change

1989 • 16 citations

Tests for Serial Defendence in Limited Dependent Variable Models

1985 • 14 citations

Distributional specification tests against semiparametric alternatives

1991 • 12 citations

Computation of linear hypothesis tests for two-stage least squares

1983 • 11 citations

On Point-Optimal Cox Tests

1988 • 4 citations