Access the full text.
Sign up today, get DeepDyve free for 14 days.
C. Gouriéroux, A. Monfort, A. Trognon (1984)
PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORYEconometrica, 52
Engle Engle, Hendry Hendry, Richard Richard (1983)
ExogeneityEconometrica, 51
BOOK REVIEW overhead and will give some difficulty. While the gain in generality is worth while, the author could perhaps have been freer in giving familiar examples, to make the mathematics less forbidding. In his treatment of specification testing, White shows that the Newey-Tauchen in-tests provide a unifying principle embracing most varieties of specification test, including Lagrange Multiplier tests. Hausman tests, Cox tests, and encompassing tests. But apart from pointing out the possibility of using the in-test framework to set up joint tests of specification, he does not have a great deal to say about model-building strategies and, curiously, does not enlarge on the ideas in White (1990) in any detail. He does have some interesting observations on the various concepts of exogeneity, and suggests an alternative to the well-known treatment of Engle, Hendry, and Richard (1983). These authors implicitly assume a correspondence between the estimated model and the DGP, notwithstanding that weak exogeneity is a property of the parameterization of interest, rather than of data. White finds it helpful to distinguish the notions of explanatory variables (as noted above), informational exogeneity, and conditional invariance. The first of these concepts relate entirely to the specified model, not to
Journal of Applied Econometrics – Wiley
Published: Oct 1, 1995
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.