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

B-Tier
Journal: Econometric Theory
Year: 1994
Volume: 10
Issue: 2
Pages: 409-418

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:10:y:1994:i:02:p:409-418_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29