Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations

DOI10.1111/1467-9574.00099zbMath0921.62140MaRDI QIDQ4248111

Norman R. Swanson

Publication date: 5 October 1999

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00099

zbMATH Keywords

Lagrange multiplier; nonlinearity test; vector error-correction

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

91B62: Economic growth models

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