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On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests

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  • Brown, Kenneth
  • Cribari-Neto, Francisco

Abstract

This paper discusses some issues related to the use of the Lagrange multiplier, likelihood ratio and Wald tests in econometrics. In particular, the paper focuses on three issues: (i) the Wald test with nonlinear constraints; (ii) conflict among criteria and size correction; and (iii) the derivation of an improved LM statistic. Some Monte Carlo simulation results illustrate the discussion.

Suggested Citation

  • Brown, Kenneth & Cribari-Neto, Francisco, 1992. "On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
    • Handle: RePEc:sbe:breart:v:12:y:1992:i:2:a:2990
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