On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis

DOI10.2307/1911410zbMath0463.62106OpenAlexW2037199070MaRDI QIDQ3914290

Leslie G. Godfrey

Publication date: 1981

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911410

zbMATH Keywords

invariance of Lagrange multiplier testtesting for misspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (11)

Testing strategies for model specification ⋮ A joint serial correlation test for linear panel data models ⋮ Simulataneous specicication test in a binary logit ⋮ Misspecification tests and their uses in econometrics ⋮ Reprint of: Generalized autoregressive conditional heteroskedasticity ⋮ Threshold heteroskedastic models ⋮ Checks of model adequacy for univariate time series models and their application to econometric relationships ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY ⋮ Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models ⋮ Generalized autoregressive conditional heteroscedasticity ⋮ Goodness-of-link tests for multivariate regression models

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