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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.

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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp9811.pdf
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 9811.

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Length: 9 pages
Date of creation: 30 Nov 1998
Date of revision:
Handle: RePEc:vic:vicewp:9811
Note: ISSN 1485-6441
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  1. Bera, Anvil K & McAleer, Michael, 1983. "Some Exact Tests for Model Specification," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 351-54, May.
  2. 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.
  3. Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Wiley Blackwell, vol. 48(3), pages 487-96, July.
  4. 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.
  5. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-65, March.
  6. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
  7. Russell Davidson & James G. MacKinnon, 1999. "Artificial Regressions," Working Papers 978, Queen's University, Department of Economics.
  8. 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.
  9. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
  10. Fisher, Gordon R., 1983. "Tests for two separate regressions," Journal of Econometrics, Elsevier, vol. 21(1), pages 117-132, January.
  11. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.
  12. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
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