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.
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|Date of creation:||Mar 2009|
|Date of revision:||Oct 2009|
|Publication status:||Published in Economic Letters, Vol.104, pp. 64-68|
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