Testing under local misspecification and artificial regressions

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

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)66-68
Number of pages3
JournalEconomics Letters
Volume104
Issue number2
DOIs
StatePublished - Aug 2009

Keywords

  • Artificial regression
  • LM tests
  • Specification tests

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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