Diagnostic tests for models based on individual data: A survey
综述了基于个体数据的模型诊断检验文献，提出从条件矩检验视角推导和应用拉格朗日乘子检验更简便，并介绍基于参数与非参数估计量比较的新检验，用于检查已发表研究。
This paper surveys the growing literature on diagnostic testing of models based on unit record data. We argue that while many of these tests are produced in a Lagrange multiplier framework they are often more readily derived, and more easily applied, if approached from the conditional moment testing view of Newey (1985) and Tauchen (1985). In addition we propose some new tests based on comparisons of parametric estimators with nonparametric estimators which are consistent under certain forms of misspecification. To illustrate the utility of the tests we employ them in the examination of some existing published studies.