Testing under local misspecification and artificial regressions

Anil K. Bera; Gabriel Montes-Rojas; Walter Sosa-Escudero

doi:10.1016/j.econlet.2009.04.005

Testing under local misspecification and artificial regressions

Anil K. Bera, Gabriel Montes-Rojas, Walter Sosa-Escudero

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English (US)
Pages (from-to)	66-68
Number of pages	3
Journal	Economics Letters
Volume	104
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2009.04.005
State	Published - Aug 2009

Keywords

Artificial regression
LM tests
Specification tests

ASJC Scopus subject areas

Finance
Economics and Econometrics

Online availability

10.1016/j.econlet.2009.04.005

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abstract = "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.",

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author = "Bera, {Anil K.} and Gabriel Montes-Rojas and Walter Sosa-Escudero",

year = "2009",

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AU - Montes-Rojas, Gabriel

AU - Sosa-Escudero, Walter

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KW - Specification tests

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Testing under local misspecification and artificial regressions

Abstract

Keywords

ASJC Scopus subject areas

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