Testing under local misspecification and artificial regressions

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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Year of publication:	2009
Authors:	Bera, Anil K. ; Montes-Rojas, Gabriel ; Sosa-Escudero, Walter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 104.2009, 2, p. 66-68
Publisher:	Elsevier
Keywords:	Specification tests LM tests Artificial regression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005023473