Testing under local misspecification and artificial regressions
AbstractAn additivity property of LM tests is derived, linking joint, marginal and Bera-Yoon "adjusted" tests, hence the latter can be derived as the difference of the first two. An artificial regression framework provides an intuitive geometrical illustration of the Bera-Yoon principle.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 104 (2009)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Specification tests LM tests Artificial regression;
Other versions of this item:
- Walter Sosa Escudero & Anil K. Bera & Gabriel Montes Rojas, 2009. "Testing Under Local Misspecification and Artificial Regressions," Working Papers 97, Universidad de San Andres, Departamento de Economia, revised Oct 2009.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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