On the Limits of Glm for Specification Testing: A Comment on Gurmu and Trivedi
评论了Gurmu和Trivedi的线性指数族变量增广设定检验，指出广义线性模型作为设定检验通用框架存在重要局限，并阐明了统计学与计量经济学文献在准似然检验上的联系。
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.