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VAR forecasting under misspecification
Journal of Econometrics, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Dynamic Concern for Misspecification
We consider an agent who posits a set of probabilistic models for the payoff- relevant outcomes. The agent has a prior over this set but fears the actual model is omitted and hedges against this possibility. The concern for misspecification is endogenous: If a model explains the previous observations well, the concern attenuates. We show that differentLanzani, Giacomo +6 more
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Misspecification Tests in Econometrics
1989Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application.
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Model misspecification in Data Envelopment Analysis
Annals of Operations Research, 1997zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Beta regression misspecification tests
Journal of Statistical Planning and InferencezbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cribari-Neto, Francisco +2 more
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Misspecification in dynamic models
2013Within the class of ARMAX models we consider the effects that omitted explanatory processes have on the dynamic shape and the exogeneity properties of economic relations. We show that, under suitable assumptions, a well defined "misspecified" ARMAX model exists and is unique.
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