The Econometric SocietyEdited by: Marina Halac • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Sep, 1985, Volume 53, Issue 5
https://www.jstor.org/stable/1911011
p. 1047-1070
Whitney K. Newey
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.
December 11, 2025
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
