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On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi

Published online by Cambridge University Press:  11 February 2009

Jeffrey M. Wooldridge
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Abstract

In this comment on Gurmu and Trivedi's “Variable Augmentation Specification Tests in the Linear Exponential Family,” I show how their generalized linear model (GLM) approach relates to other work in econometrics on specification testing in the linear exponential family. In addition to shedding light on the relationship between the statistics and econometrics literatures on testing in quasi-likelihood frameworks, this comparison reveals some important limitations of GLM as a general framework for devising specification tests.

Type
Research Article
Information
Econometric Theory , Volume 10 , Issue 2 , June 1994 , pp. 409 - 418
Copyright
Copyright © Cambridge University Press 1994

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