Estimation, inference and specification analysis, by H. White. Econometric Society Monographs No. 22, Cambridge University Press, 1994, pp. x+380. ISBN 0‐521‐25280‐6; Price £30 (hardback)

Estimation, inference and specification analysis, by H. White. Econometric Society Monographs No.... 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 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

Estimation, inference and specification analysis, by H. White. Econometric Society Monographs No. 22, Cambridge University Press, 1994, pp. x+380. ISBN 0‐521‐25280‐6; Price £30 (hardback)

Journal of Applied Econometrics, Volume 10 (4) – Oct 1, 1995

Loading next page...
 
/lp/wiley/estimation-inference-and-specification-analysis-by-h-white-econometric-lMIYdDhiFA
Publisher
Wiley
Copyright
Copyright © 1995 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
DOI
10.1002/jae.3950100410
Publisher site
See Article on Publisher Site

Abstract

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

Journal of Applied EconometricsWiley

Published: Oct 1, 1995

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off