Small sample properties of alternative forms of the Lagrange multiplier test

DOI10.1016/0165-1765(83)90048-4MaRDI QIDQ374828zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(83)90048-4

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• Model Specification Tests Based on Artificial Linear Regressions
• Small sample properties of alternative forms of the Lagrange multiplier test
• Testing Linear and Log-Linear Regressions for Functional Form
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(23)

• MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm
• Duration response measurement error
• Applying estimated score tests in econometrics
• Specification test for a linear regression model with ARCH process
• On the calculation of the information matrix test in the normal linear regression model
• Simple LM tests of mis-specification for ordered logit models
• Inference functions and quadratic score tests
• Testing exclusion restrictions for a misspecified Tobit model
• GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
• Testing for linear and log-linear regressions with heteroscedasticity
• On improving the robustness and reliability of Rao's score test
• Robust parametric tests of constant conditional correlation in a MGARCH model
• Generalized LM tests for functional form and heteroscedasticity
• Tests of transformation in nonlinear regression
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results
• A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
• Some selection criteria for nested binary choice models: a comparative study
• Specification tests in ordered logit and probit models
• Small sample properties of alternative forms of the Lagrange multiplier test
• Specification testing in Markov-switching time-series models
• Robust and efficient specification tests in Markov-switching autoregressive models
• The power and robustness properties of tests for heteroskedasticity when the regressors are trended
• Robustness of the arch tests in the presence of serial correlation

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