GNR, MGR, and exact misspeclfication testing

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.

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Year of publication:	2000
Authors:	Stewart, Kenneth ; Stewart, Kenneth
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 19.2000, 2, p. 233-240
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005476027