Econometrica
journal article
Maximum Likelihood Specification Testing and Conditional Moment Tests
Whitney K. Newey
Econometrica
Vol. 53, No. 5 (Sep., 1985), pp. 1047-1070 (24 pages)
Published By: The Econometric Society
Econometrica
https://doi.org/10.2307/1911011
https://www.jstor.org/stable/1911011
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Abstract

This paper examines the detection of misspecification in the context of maximum likelihood models. The power properties of specification tests based on moment conditions are explicitly considered. Tests of conditional moment restrictions are also discussed and are shown to be particularly useful when exogenous variables are present. The form of optimal conditional moment tests is presented. The general results are then applied to specification tests for probit.

Journal Information

Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics.

Publisher Information

The Econometric Society is an international society for the advancement of economic theory in its relation to statistics and mathematics.

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Econometrica © 1985 The Econometric Society