Testing under local misspecification and artificial regressions
An 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2006.
"Joint LM test for homoskedasticity in a one-way error component model,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 401-417, October.
- Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2005. "Joint LM Test for Homoskedasticity in a One-Way error Component Model," Center for Policy Research Working Papers 72, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi B-H. & Bresson G. & Pirotte A., 2004. "Joint LM test for homoskedasticity in a one-way error component model," Working Papers ERMES 0408, ERMES, University Paris 2.
- T. S. Breusch & A. R. Pagan, 1980.
"The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics,"
Review of Economic Studies,
Oxford University Press, vol. 47(1), pages 239-253.
- Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP 412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
- Saikkonen, Pentti, 1989. "Asymptotic relative efficiency of the classical test statistics under misspecification," Journal of Econometrics, Elsevier, vol. 42(3), pages 351-369, November.
- Davidson , R. & Mackinnon, J.G., 1985.
"Implicit alternatives and the local power of test statistics,"
CORE Discussion Papers
1985025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Davidson, Russell & MacKinnon, James G, 1987. "Implicit Alternatives and the Local Power of Test Statistics," Econometrica, Econometric Society, vol. 55(6), pages 1305-29, November.
- Russell Davidson & James G. MacKinnon, 1984. "Implicit Alternatives and the Local Power of Test Statistics," Working Papers 556, Queen's University, Department of Economics.
- Anil Bera & Walter Sosa Escudero & Mann Yoon, 2000.
"Test for the Error Component Model in the Presence of Local Misspecification,"
Department of Economics, Working Papers
022, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March.
- Anil K. Bera & Walter Sosa Escudero & Mann Yoon, 2000. "Tests for the Error Component Model in the Presence of Local Misspecification," Econometric Society World Congress 2000 Contributed Papers 1888, Econometric Society.
- Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
- Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(04), pages 649-658, August.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:104:y:2009:i:2:p:66-68. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.