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|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2|
Web page: http://web.uvic.ca/econ
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Davidson, Russel & MacKinnon, James G., 1983.
"Small sample properties of alternative forms of the Lagrange Multiplier test,"
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. & 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.
- BERA, Anil K. & McALEER, Michael, .
"Some exact tests for model specification,"
CORE Discussion Papers RP
549, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Davidson, R. & MacKinnon & J.G., 1999.
99a04, Universite Aix-Marseille III.
- 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.
- MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
- Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics.
- 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.
- 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.
- 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.
- Fisher, Gordon R., 1983. "Tests for two separate regressions," Journal of Econometrics, Elsevier, vol. 21(1), pages 117-132, January.
- Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:vic:vicewp:9811. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Giles)
If references are entirely missing, you can add them using this form.