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Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test

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  1. is not listed on IDEAS
  2. Yang, Zhenlin & Chen, Gemai, 2004. "Tests of transformation in nonlinear regression," Economics Letters, Elsevier, vol. 84(3), pages 391-398, September.
  3. Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J., 2002. "Duration response measurement error," Journal of Econometrics, Elsevier, vol. 111(2), pages 169-194, December.
  4. Badi H. Baltagi & Dong Li, 2001. "LM Tests for Functional Form and Spatial Error Correlation," International Regional Science Review, , vol. 24(2), pages 194-225, April.
  5. Murphy, Anthony, 1996. "Simple LM tests of mis-specification for ordered logit models," Economics Letters, Elsevier, vol. 52(2), pages 137-141, August.
  6. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, vol. 25(3), pages 241-262, July.
  7. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
  8. repec:rim:rimwps:19-01 is not listed on IDEAS
  9. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
  10. van der Loeff, S. Schim, 1985. "Limited Information Maximum Likelihood Estimation Of A Subsystem Of Nonlinear Equations," Econometric Institute Archives 272294, Erasmus University Rotterdam.
  11. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  12. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  13. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  14. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
  15. Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
  16. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  17. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
  18. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
  19. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
  20. F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
  21. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
  22. Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Finite sample performance of the robust Wald test in simultaneous equation systems," MPRA Paper 22557, University Library of Munich, Germany.
  23. Teresa Aparicio & Inmaculada Villanúa, 2007. "Some selection criteria for nested binary choice models: a comparative study," Computational Statistics, Springer, vol. 22(4), pages 635-660, December.
  24. Davidson, Russell & MacKinnon, James G, 1988. "Double Length Artificial Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 203-217, May.
  25. McCurdy, Thomas H. & Morgan, Ieuan G., 1987. "Tests of the martingale hypothesis for foreign currency futures with time-varying volatility," International Journal of Forecasting, Elsevier, vol. 3(1), pages 131-148.
  26. Jouneau-Sion, Frederic & Torres, Olivier, 2006. "MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm," Journal of Econometrics, Elsevier, vol. 133(2), pages 479-512, August.
  27. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
  28. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
  29. Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," Economics Discussion Paper Series 1109, Economics, The University of Manchester.
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