The Lagrange multiplier test and its applications to model specification in econometrics

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Show simple item record Breusch, T Pagan, AR 2011-02-07T06:26:10Z 1980-01
dc.identifier.citation Review of Economic Studies, 1980, 47 (146), pp. 239 - 253
dc.identifier.issn 0034-6527
dc.identifier.other C1UNSUBMIT en_US
dc.description.abstract This paper has two aims. The first is to exposit the various forms of the LM statistic and to collect together some of the relevant research reported in the mathematical statistics literature. The second is to illustrate the construction of LM tests by considering a number of particular econometric specifications as examples. It will be found that in many instances the LM statistic can be computed by a regression using the residuals of the fitted model which, because of its simplicity, is itself estimated by OLS. The paper contains five sections. In Section 2, the LM statistic is outlined and some alternative versions of it are discussed. Section 3 gives the derivation of the statistic for several econometric specifications. Applications in this section are the testing for a liquidity trap, autocorrelation, the error components model, diagonality of a covariance matrix in seemingly unrelated equation systems and choice between models generated by separate families of distributions. Section 4 considers the construction of a pseudo-LM statistic when estimation is difficult even under the null hypothesis and discusses the derivation of the exact distribution of the statistic. A concluding summary is given as Section
dc.format Yes
dc.publisher Wiley-Blackwell
dc.title The Lagrange multiplier test and its applications to model specification in econometrics
dc.type Journal Article
dc.parent Review of Economic Studies
dc.journal.volume 146
dc.journal.volume 47
dc.journal.number 146 en_US
dc.publocation USA en_US
dc.identifier.startpage 239 en_US
dc.identifier.endpage 253 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 100844
dc.percentage 100 en_US Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)

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