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On the Limits of Glm for SpecificationTesting: A Comment on Gurmu andTrivedi

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 “VariableAugmentation Specification Tests in the LinearExponential Family,” I show how their generalizedlinear model (GLM) approach relates to other work ineconometrics on specification testing in the linearexponential family. In addition to shedding light onthe relationship between the statistics andeconometrics literatures on testing inquasi-likelihood frameworks, this comparison revealssome important limitations of GLM as a generalframework for devising specification tests.

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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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