TY - JOUR
T1 - Testing under local misspecification and artificial regressions
AU - Bera, Anil K.
AU - Montes-Rojas, Gabriel
AU - Sosa-Escudero, Walter
PY - 2009/8
Y1 - 2009/8
N2 - An additivity property of LM tests is derived, linking joint, marginal and Bera-Yoon "adjusted" tests, hence the latter can be derived as the difference of the first two. An artificial regression framework provides an intuitive geometrical illustration of the Bera-Yoon principle.
AB - An additivity property of LM tests is derived, linking joint, marginal and Bera-Yoon "adjusted" tests, hence the latter can be derived as the difference of the first two. An artificial regression framework provides an intuitive geometrical illustration of the Bera-Yoon principle.
KW - Artificial regression
KW - LM tests
KW - Specification tests
UR - http://www.scopus.com/inward/record.url?scp=67649202213&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=67649202213&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2009.04.005
DO - 10.1016/j.econlet.2009.04.005
M3 - Article
AN - SCOPUS:67649202213
SN - 0165-1765
VL - 104
SP - 66
EP - 68
JO - Economics Letters
JF - Economics Letters
IS - 2
ER -