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GNR, MGR, and exact misspeclfication testing

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  • Kenneth Stewart
  • Kenneth Stewart

Abstract

The Gauss-Newton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the Milliken-Graybill regression is a GNR. Hence one interpretation of Milliken-Graybill is that they identified a class of nonlinear models for which the GNR yields an exact test.

Suggested Citation

  • Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
    • Handle: RePEc:taf:emetrv:v:19:y:2000:i:2:p:233-240
    DOI: 10.1080/07474930008800469
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    References listed on IDEAS

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    1. James G. MacKinnon & Russell Davidson, 1999. "Artificial Regressions," Working Paper 978, Economics Department, Queen's University.
    2. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Paper 431, Economics Department, Queen's University.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. The Milliken-Graybill Theorem
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-07-06 20:08:00

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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