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

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A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
Testing for jumps in the stochastic volatility models
Testing under local misspecification and artificial regressions
Model specification tests. A simultaneous approach
A test for distributional assumptions for the stochastic frontier functions
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
Modified Lagrange multiplier tests for problems with one-sided alternatives
Testing strategies for model specification
Random group effects and the precision of regression estimates
Testing the normality assumption in multivariate simultaneous limited dependent variable models
Large sample estimation and testing procedures for dynamic equation systems
AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
Pooling. An experimental study of alternative testing and estimation procedures in a two-way error component model
Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method
Some aspects of testing non-nested hypotheses
A standardized test for the error components model with the two-way layout
A monotonic property for iterative GLS in the two-way random effects model
Nonlinear models, rescaling and test invariance
Monte Carlo results on several new and existing tests for the error component model
Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
Testing serial correlation in semiparametric panel data models
Joint and separate score tests for state dependence and unobserved heterogeneity
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
Robustness of tests for error components models to non-normality
Testing for random individual and time effects using a Gauss-Newton regression
Misspecified heterogeneity in panel data models
Properties of Honda's test of random individual effects in non-linear regressions
Testing panel data regression models with spatial error correlation.
Detecting and testing causality in linear econometric models
Testing for serial independence of panel errors
Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
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
Testing for serial correlation in hierarchical linear models
Specification tests based on MCMC output
The sensitivity of OLS when the variance matrix is (partially) unknown
Specification testing when score test statistics are identically zero
Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
Some approximations to power functions of -divergence tests in parametric models
One-sided tests for independence of seemingly unrelated regression equations
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
Misspecification tests and their uses in econometrics
Applying estimated score tests in econometrics
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
Copula-based tests for cross-sectional independence in panel models
Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss
The role of foreign direct investment and labor productivity in explaining Croatian regional export dynamics
On testing for sphericity with non-normality in a fixed effects panel data model
Panel data modeling of bank deposits
Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches
Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression
Max-sum tests for cross-sectional independence of high-dimensional panel data
Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
Dr C R Rao's contributions to the advancement of economic science
Hypothesis testing based on a vector of statistics
Asymptotic distribution of the score test for detecting marks in Hawkes processes
Modification indices for the 2-PL and the nominal response model
On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
Determining individual or time effects in panel data models
Testing serial correlation in partially linear additive models
High dimensional cross-sectional dependence test under arbitrary serial correlation
The Sun also rises: productivity convergence between Japan and the USA
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
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
Tests with correct size when instruments can be arbitrarily weak
Testing for random effects and serial correlation in spatial autoregressive models
New testing approaches for mean-variance predictability
A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model
Estimation of asymmetric responses of U.S. retail fuel prices to changes in input prices based on a linear exponential adjustment cost approach
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
Joint LM test for homoskedasticity in a one-way error component model
Testing for serial correlation, spatial autocorrelation and random effects using panel data
A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
Testing for Persistence in the Error Component Model: A One-Sided Approach
A comparison of statistical tests for the adequacy of a neural network regression model
Modelling banks' lending behaviour in a capital-regulated framework
Neyman's \({\mathrm C}(\alpha)\) test for unobserved heterogeneity
Testing for sphericity in a fixed effects panel data model
A test of cross section dependence for a linear dynamic panel model with regressors
Quantile regression with clustered data
A coordinate free approach to score tests
A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
A lagrange multiplier test for the error components model with incomplete panels
The asymptotic distribution of the F‐test statistic for individual effects
A bias-adjusted LM test of error cross-section independence
Testing for random effects in panel models with spatially correlated disturbances
Five diagnostic tests for unobserved cluster effects
Spurious Regressions with Time-Series Data: Further Asymptotic Results
WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL
Small sample properties of alternative forms of the Lagrange multiplier test
A score-type test based on higher-order derivatives

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