Specification Issues Part 2

This lecture discusses functional form misspecification, RESET for a test of general specification, nonnested test, proxy variables, using lagged values for proxy variable, measurement errors of dependent and independent variables, and missing data. The materials of this lecture are based on Jeffrey Wooldridge's Introduction to Modern Econometrics.

Time codes
0:00:00 - Introduction
0:06:30 - Functional form misspecification: example 1
0:13:52 - Functional form misspecification in Stata
0:21:41 - Functional form misspecification: example 2
0:26:35 - RESET as a general test for misspecification
0:32:16 - RESET illustration in Stata
0:45:30 - Tests against nonnested alternatives
0:48:29 - The Davidson-Mackinnon test
0:52:15 - The Davidson-Mackinnon test in Stata
0:59:58 - Issues with nonnested testing
1:03:22 - Omitted variable bias and proxy variables
1:15:40 - Illustration of proxy variables in Stata
1:24:45 - Using lagged dependent variable as a proxy variable
1:29:48 - Illustration of using lagged dependent variables in Stata
1:41:28 - Measurement errors of dependent variable
1:47:25 - Measurement errors of independent variable
1:55:09 - Missing data

Website: sahadewo.wordpress.com
Twitter: @gasahadewo

Department of Economics
Faculty of Economics and Business
Universitas Gadjah Mada
Indonesia