The Lagrange multiplier test for autocorrelation in the presence of linear restrictions

DOI10.1016/0165-1765(85)90209-5zbMath1273.62155OpenAlexW2005925182MaRDI QIDQ375061

Gareth Ian Evans, Kerry D. Patterson

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90209-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Cites Work

• A note on the Wald, LR and LM tests and misspecification
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
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