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Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions

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Abstract

The Gauss-Newton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the Milliken- Graybill regression is a GNR. Hence one interpretation of Milliken- Graybill is that they identi ed a class of nonlinear models for which the GNR yields an exact test.

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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 9811.

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Length: 9 pages
Date of creation: 30 Nov 1998
Date of revision:
Handle: RePEc:vic:vicewp:9811

Note: ISSN 1485-6441
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Keywords: Specification testing; Milliken-Graybill Theorem; Gauss- Newton regression;

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References

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  1. Russell Davidson & James G. MacKinnon, 1999. "Artificial Regressions," Working Papers 978, Queen's University, Department of Economics.
  2. BERA, Anil K. & McALEER, Michael, . "Some exact tests for model specification," CORE Discussion Papers RP -549, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
  4. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.
  5. Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 487-96, July.
  6. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
  7. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
  8. Fisher, Gordon R., 1983. "Tests for two separate regressions," Journal of Econometrics, Elsevier, vol. 21(1), pages 117-132, January.
  9. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-65, March.
  10. Russell Davidson & James G. MacKinnon, 1981. "Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test," Working Papers 439, Queen's University, Department of Economics.
  11. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
  12. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. The Milliken-Graybill Theorem
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-07-06 15:08:00

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