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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Econometric Society, vol. 55(6), pages 1305-29, November.
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-412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2006.
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- 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.
- 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.
- 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.
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- Saikkonen, Pentti, 1989. "Asymptotic relative efficiency of the classical test statistics under misspecification," Journal of Econometrics, Elsevier, vol. 42(3), pages 351-369, November.
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