The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

From MaRDI portal
Revision as of 22:24, 5 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:3917404

DOI10.2307/2297111zbMath0465.62107OpenAlexW2067402622MaRDI QIDQ3917404

Trevor S. Breusch, Adrian R. Pagan

Publication date: 1980

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297111



Related Items

High dimensional cross-sectional dependence test under arbitrary serial correlation, Specification analysis with discriminating priors: an application to the concentration profits debate, MODELLING BANKS' LENDING BEHAVIOUR IN A CAPITAL-REGULATED FRAMEWORK, A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS, An adaptive filter for time‐varying‐parameter models, An observation on regression-based specification tests, Tests with correct size when instruments can be arbitrarily weak, TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS, ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION, Can bank-specific variables predict contagion effects?, Testing for random effects and serial correlation in spatial autoregressive models, Cross-Sectional Dependence in Panel Data Analysis, A Heteroskedasticity-RobustF-Test Statistic for Individual Effects, New testing approaches for mean-variance predictability, A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model, High-correlated residuals improved estimation in the high-dimensional SUR model, Information criteria in identifying regression models, A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*, A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS, Estimation of asymmetric responses of U.S. retail fuel prices to changes in input prices based on a linear exponential adjustment cost approach, A bias-adjusted LM test of error cross-section independence, FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis, SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting, Testing for measurement error in regression with autoregressive innovations, Rank-based max-sum tests for mutual independence of high-dimensional random vectors, The Sun also rises: productivity convergence between Japan and the USA, Robust and efficient specification tests in Markov-switching autoregressive models, Testing for individual and time effects in unbalanced panel data models with time-invariant regressors, NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY, Testing for random individual effects using recursive residuals, Testing for random effects in panel models with spatially correlated disturbances, Daily soil temperature modeling using ‘panel-data’ concept, ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION, A test for independence between a point process and an analogue signal, Testing for sphericity in a fixed effects panel data model, Semiparametric estimation of warranty costs, Tests for the error component model in the presence of local misspecification, Five Diagnostic Tests for Unobserved Cluster Effects, Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results, On improving the robustness and reliability of Rao's score test, Checks of model adequacy for univariate time series models and their application to econometric relationships, Spurious Regressions with Time-Series Data: Further Asymptotic Results, A lagrange multiplier test for the error components model with incomplete panels, A note on tests of sphericity and cross-sectional dependence for fixed effects panel model, Moment-based tests for individual and time effects in panel data models, SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL, A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors, WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL, The asymptotic distribution of the F‐test statistic for individual effects, Testing for Persistence in the Error Component Model: A One-Sided Approach, Market integration, systemic risk and diagnostic tests in large mixed panels, Testing for sphericity in a two-way error components panel data model, A coordinate free approach to score tests, Testing Weak Cross-Sectional Dependence in Large Panels, Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model, A comparison of statistical tests for the adequacy of a neural network regression model, On the Boundedness and Nonmonotonicity of Generalized Score Statistics, Adaptation of honda's one–sided test of random effects to repeated measurements experiments, Some approximations to power functions of \(\phi\)-divergence tests in parametric models, Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression, Incomplete panels. A comparative study of alternative estimators for the unbalanced one-way error component regression model, Approximate generalized extreme value models of discrete choice, Joint LM test for homoskedasticity in a one-way error component model, Testing for serial correlation, spatial autocorrelation and random effects using panel data, Modified Lagrange multiplier tests for problems with one-sided alternatives, Testing for serial independence of panel errors, Testing strategies for model specification, Rank-based tests of cross-sectional dependence in panel data models, One-sided tests for independence of seemingly unrelated regression equations, Max-sum tests for cross-sectional independence of high-dimensional panel data, Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates, Random group effects and the precision of regression estimates, A test of cross section dependence for a linear dynamic panel model with regressors, Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process, Quantile regression with clustered data, Robustness of tests for error components models to non-normality, Testing for random individual and time effects using a Gauss-Newton regression, Testing the normality assumption in multivariate simultaneous limited dependent variable models, Unbalanced panel data: a survey, Testing AR(1) against MA(1) disturbances in an error component model, Assessing cross-sectional correlation in panel data, Specification testing in Markov-switching time-series models, Hausman-type tests for individual and time effects in the panel regression model with incomplete data, The uncertainty of conditional returns, volatilities and correlations in DCC models, Robust inference for seemingly unrelated regression models, Misspecification tests and their uses in econometrics, Applying estimated score tests in econometrics, Small sample properties of alternative forms of the Lagrange multiplier test, A score-type test based on higher-order derivatives, Misspecified heterogeneity in panel data models, Spurious regression, Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence, Impact of systematic sampling on causality in the presence of unit roots, Large sample estimation and testing procedures for dynamic equation systems, Copula-based tests for cross-sectional independence in panel models, AUTOREG: A computer program library for dynamic econometric models with autoregressive errors, Properties of Honda's test of random individual effects in non-linear regressions, A conditional least squares estimation procedure for a disequilibrium market model with autocorrelated errors, On using durbin's h-test to validate the partial-adjustment model, A test for spatial autocorrelation in seemingly unrelated regressions, Testing panel data regression models with spatial error correlation., A transformation of the inequality-constrained linear model, Pooling. An experimental study of alternative testing and estimation procedures in a two-way error component model, Dr C R Rao's contributions to the advancement of economic science, An empirical analysis of valence in electoral competition, Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method, Some aspects of testing non-nested hypotheses, A nonlinear panel data model of cross-sectional dependence, Hypothesis testing based on a vector of statistics, The generalized logit-linear item response model for binary-designed items, A standardized test for the error components model with the two-way layout, A moment-based test for individual effects in the error component model with incomplete panels, A Bayesian chi-squared test for hypothesis testing, An LM test based on generalized residuals for random effects in a nonlinear model, Testing for serial correlation in hierarchical linear models, Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss, A monotonic property for iterative GLS in the two-way random effects model, Asymptotic distribution of the score test for detecting marks in Hawkes processes, Nonlinear models, rescaling and test invariance, Testing for random effects and spatial lag dependence in panel data models, Modification indices for the 2-PL and the nominal response model, A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models, Unobserved heterogeneity in panel time series models, Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test, Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels, A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model, Monte Carlo results on several new and existing tests for the error component model, The role of foreign direct investment and labor productivity in explaining Croatian regional export dynamics, Testing for heteroskedasticity and spatial correlation in a random effects panel data model, Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors, On testing for sphericity with non-normality in a fixed effects panel data model, Non-parametric testing of discrete panel data models, On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, Specification tests based on MCMC output, Detecting and testing causality in linear econometric models, Panel data modeling of bank deposits, Determining individual or time effects in panel data models, The sensitivity of OLS when the variance matrix is (partially) unknown, A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP, Testing for jumps in the stochastic volatility models, Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches, Specification testing when score test statistics are identically zero, Testing serial correlation in partially linear additive models, Testing under local misspecification and artificial regressions, Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances, Test for normality in the econometric disequilibrium markets model, Alternative procedures and associated tests of significance for non- nested hypotheses, Maximum likelihood estimation and a specification test for non-normal distributional assumption for the accelerated failure time models, Model specification tests. A simultaneous approach, A test for distributional assumptions for the stochastic frontier functions, Testing serial correlation in semiparametric panel data models, A general approach to Lagrange multiplier model diagnostics, Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions., Specification diagnostics based on Laguerre alternatives for econometric models of duration, Score tests for zero covariances in recursive linear models for grouped or censored data, Joint and separate score tests for state dependence and unobserved heterogeneity, Optimal weighted average power similar tests for the covariance structure in the linear regression model, Skill-biased technical change in US manufacturing: a general index approach