LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS

DOI10.1017/S026646660016205XMaRDI QIDQ4512681zbMATH OpenOpenAlexFDO

Authors Marilena Furno

Publication date 29 March 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646660016205x

zbMATH Keywords

autocorrelationconditional heteroskedasticityLagrange multiplier tests

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Hypothesis testing in multivariate analysis (62H15)

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(13)

• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
• The distribution of a Lagrange multiplier test of normality
• Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality
• Testing for serial correlation in hierarchical linear models
• Higher-order asymptotic properties of QML in -ARCH and -ARCH models
• A comparison of statistical tests for the adequacy of a neural network regression model
• Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity
• On the Robustness of LM, LR, and W Tests in Regression Models
• Least absolute value regression: recent contributions
• A residual-based test for autocorrelation in quantile regression models
• The Laplace likelihood ratio test for heteroscedasticity
• LAD estimation with random coefficient autocorrelated errors.
• Parametric modal regression with autocorrelated error process

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