Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions
The Gauss-Newton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the Milliken- Graybill regression is a GNR. Hence one interpretation of Milliken- Graybill is that they identi ed a class of nonlinear models for which the GNR yields an exact test.
|Date of creation:||30 Nov 1998|
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- Russell Davidson & James G. MacKinnon, 1999.
978, Queen's University, Department of Economics.
- Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
- Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics.
- Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.
- Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
- Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-365, March.
- Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
- Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
- MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
- Bera, Anvil K & McAleer, Michael, 1983. "Some Exact Tests for Model Specification," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 351-354, May.
- BERA, Anil K. & McALEER, Michael, "undated". "Some exact tests for model specification," CORE Discussion Papers RP 549, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. G. Godfrey & M. R. Wickens, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Oxford University Press, vol. 48(3), pages 487-496.
- Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
- Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275.
- 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.
- Fisher, Gordon R., 1983. "Tests for two separate regressions," Journal of Econometrics, Elsevier, vol. 21(1), pages 117-132, January.
- Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 241-261. Full references (including those not matched with items on IDEAS)
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