A general approach to Lagrange multiplier model diagnostics
From MaRDI portal
Publication:801625
DOI10.1016/0304-4076(82)90104-XzbMath0552.62078MaRDI QIDQ801625
Publication date: 1982
Published in: Journal of Econometrics (Search for Journal in Brave)
residualsmisspecificationdiagnostic testLagrange multiplier testomitted variablesblock-recursive structurestypes of non-randomness
Related Items
Asymptotic robustness of tests of overidentification and predeterminedness, Temporal dependence in asset pricing models, A Smooth Test of Goodness-of-Fit for Growth Curves and Monotonic Nonlinear Regression Models, Testing weak exogeneity in multiplicative error models, Specification testing in Markov-switching time-series models, Simulataneous specicication test in a binary logit, Tests of additional conditional moment restrictions, Misspecification tests and their uses in econometrics, Applying estimated score tests in econometrics, Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation, A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Lagrance-multiplier tersts for weak exogeneity: a synthesis, Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory, Simple regression‐based tests for spatial dependence, Tests of overidentification and predeterminedness in simultaneous equation models, Testing exogeneity in overidentified models, On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, Diagnostic testing and evaluation of maximum likelihood models, Detecting and testing causality in linear econometric models, A unified approach to estimation and orthogonality tests in linear single-equation econometric models, Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances, Near exogeneity, weak identification and specification testing: Some asymptotic results, 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, A comparison of statistical tests for the adequacy of a neural network regression model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Misspecified models with dependent observations
- The structure of simultaneous equations estimators
- Testing for multiplicative heteroskedasticity
- The Lagrangian Multiplier Test
- Maximum-Likelihood Estimation of Parameters Subject to Restraints
- Exogeneity
- Conflict Among Criteria for Testing Hypotheses: Extensions and Comments
- Nonlinear Regression on Cross-Section Data
- Test of Independence between a Subset of Stochastic Regressors and Disturbances
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Alternative Tests of Independence between Stochastic Regressors and Disturbances
- An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
- Conflict Among Testing Procedures in a Linear Regression Model with Autoregressive Disturbances
- Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Specification Tests in Econometrics
- An Independence Test and Conditional Unbiased Predictions in the Context of Simultaneous Equation Systems
- A Limited Information Specification Test
- TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
