Small sample properties of alternative forms of the Lagrange multiplier test

DOI10.1016/0165-1765(83)90048-4zbMATH Open1273.91362OpenAlexW1987124115MaRDI QIDQ374828FDOQ374828

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

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Model Specification Tests Based on Artificial Linear Regressions
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• 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

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• MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm
• Small sample properties of alternative forms of the Lagrange multiplier test
• Robust parametric tests of constant conditional correlation in a MGARCH model
• 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
• On improving the robustness and reliability of Rao's score test
• Applying estimated score tests in econometrics
• Specification test for a linear regression model with ARCH process
• Simple LM tests of mis-specification for ordered logit models
• On the calculation of the information matrix test in the normal linear regression model
• Specification testing in Markov-switching time-series models
• Testing exclusion restrictions for a misspecified Tobit model
• Robustness of the arch tests in the presence of serial correlation
• Generalized LM tests for functional form and heteroscedasticity
• Robust and efficient specification tests in Markov-switching autoregressive models
• Testing for linear and log-linear regressions with heteroscedasticity
• Inference functions and quadratic score tests

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