OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY

DOI10.1017/S0266466605050486zbMath1081.62110MaRDI QIDQ3375347

Barbara Rossi

Publication date: 8 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplier test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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