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The functional equivalence of the W, LR, and LM statistics

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  • Stewart, Kenneth G.

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  • Stewart, Kenneth G., 1995. "The functional equivalence of the W, LR, and LM statistics," Economics Letters, Elsevier, vol. 49(2), pages 109-112, August.
    • Handle: RePEc:eee:ecolet:v:49:y:1995:i:2:p:109-112
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    References listed on IDEAS

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    1. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-1277, July.
    2. Bera, Anil K., 1982. "A note on testing demand homogeneity," Journal of Econometrics, Elsevier, vol. 18(2), pages 291-294, February.
    3. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
    4. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-262, June.
    5. Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-748, May.
    6. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
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    Cited by:

    1. Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
    3. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
    4. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    5. Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.

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