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Discriminating between errors-in- variables/simultaneity and misspecification in linear regression models

1994; Elsevier BV; Volume: 44; Issue: 4 Linguagem: Inglês

10.1016/0165-1765(94)90103-1

1873-7374

L. G. Godfrey, John Hutton,

Statistical Methods and Inference

A two-part test procedure is proposed to assist in discriminating between errors-in-variables/simultaneity and other misspecifications of a linear regression model. A result on the asymptotic independence of tests is established and a numerical example is provided.