LM test for the constancy of regression coefficient with moving average innovation

MaRDI QIDQ3580309zbMATH OpenFDO

Authors

Publication date 12 August 2010

zbMATH Keywords

Lagrange multiplier test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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