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

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  • Godfrey, L G

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  • Godfrey, L G, 1981. "On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis," Econometrica, Econometric Society, vol. 49(6), pages 1443-1455, November.
    • Handle: RePEc:ecm:emetrp:v:49:y:1981:i:6:p:1443-55
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    Cited by:

    1. Godfrey, Leslie G, 1987. "Discriminating between Autocorrelation and Misspecification in," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 128-134, February.
    2. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
    3. L. G. Godfrey & M. R. Veal, 2000. "Alternative approaches to testing by variable addition," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 241-261.
    4. Jochmans, K., 2019. "Testing Correlation in Error-Component Models," Cambridge Working Papers in Economics 1993, Faculty of Economics, University of Cambridge.
    5. Fatima, Amber & Shahbaz, Muhammad & Islam, Faridul, 2012. "Nexus of Trade, Investment and Poverty: Evidence from Pakistan," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 35(2), pages 87-108, June.
    6. Koen Jochmans, 2020. "Testing for correlation in error‐component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 860-878, November.
    7. Colin R. McKenzie & Michael McAleer & Len Gill, 1999. "Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models," The Japanese Economic Review, Japanese Economic Association, vol. 50(3), pages 239-252, September.
    8. Koen Jochmans, 2023. "Testing random assignment to peer groups," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 321-333, April.
    9. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    10. Bera, A.K. & Ullah, A., 1991. "RAO's Score Test in Econometrics," Other publications TiSEM 667d7827-c9d6-4f00-8183-6, Tilburg University, School of Economics and Management.
    11. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
    12. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
    13. Bollerslev, Tim, 2023. "Reprint of: Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Elsevier, vol. 234(S), pages 25-37.

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