Abstract:Specification of a model is one of the most fundamental problems in econometrics. In practice, specification tests are generally carried out in a piecemeal fashion, for example, testing the presence of one-effect at a time ignoring the potential presence of other forms of misspecification. Many of the suggested tests in the literature require estimation of complex models and even then those tests cannot account for multiple forms of departures from the model under the null hypothesis. Using Bera and Yoon (Econ… Show more
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