Small sample properties of alternative forms of the Lagrange Multiplier test
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
- Yang, Zhenlin & Chen, Gemai, 2004. "Tests of transformation in nonlinear regression," Economics Letters, Elsevier, vol. 84(3), pages 391-398, September.
- Mencia, Javier F. & Sentana, Enrique, 2004.
"Estimation and testing of dynamic models with generalised hyperbolic innovations,"
LSE Research Online Documents on Economics
24742, London School of Economics and Political Science, LSE Library.
- Mencía, Javier & Sentana, Enrique, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J., 2002. "Duration response measurement error," Journal of Econometrics, Elsevier, vol. 111(2), pages 169-194, December.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Finite sample performance of the robust Wald test in simultaneous equation systems," MPRA Paper 22557, University Library of Munich, Germany.
- Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
- Davidson, Russell & MacKinnon, James G., 1984.
"Convenient specification tests for logit and probit models,"
Journal of Econometrics,
Elsevier, vol. 25(3), pages 241-262, July.
- Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1988. "Double Length Artificial Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 203-217, May.
- Teresa Aparicio & Inmaculada Villanúa, 2007. "Some selection criteria for nested binary choice models: a comparative study," Computational Statistics, Springer, vol. 22(4), pages 635-660, December.
- Davidson, Russell & MacKinnon, James G., 1989.
"Testing for Consistency using Artificial Regressions,"
Cambridge University Press, vol. 5(03), pages 363-384, December.
- Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003.
"Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 21(4), pages 532-546, October.
- Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(01), pages 74-113, February.
- William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
- Jouneau-Sion, Frederic & Torres, Olivier, 2006. "MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm," Journal of Econometrics, Elsevier, vol. 133(2), pages 479-512, August.
- Hamilton, James D., 1996.
"Specification testing in Markov-switching time-series models,"
Journal of Econometrics,
Elsevier, vol. 70(1), pages 127-157, January.
- Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España;Working Papers Homepage.
- Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," The School of Economics Discussion Paper Series 1109, Economics, The University of Manchester.
- Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:12:y:1983:i:3-4:p:269-275. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.