Grouping Tests for Misspecification: An Application to Housing Demand
比较了三种回归模型设定错误检验方法，提出一种新检验来区分两类设定错误，并用FHA购房数据验证了家庭与分组回归的差异不仅源于抽样误差或收入价格测量误差。
Abstract We consider several grouping tests for regression misspecification, with reference to housing-demand function estimation. We compare three existing test procedures, demonstrate modifications necessary in most applications, and propose a fourth test to distinguish between two categories of potential specification error. The test procedures are evaluated in artificial simulations of alternative errors. Finally, we apply the tests to FHA home purchase data. We reject the hypothesis that household and grouped regressions differ only by sampling error or random mismeasurement of household income or price. Our results have implications for choices among test procedures and interpretations of previous housing-demand analysis. KEY WORDS: Specification error testsHousing demandAggregation biasErrors-in-variables