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:	2009-03
Authors:	Escudero, Walter Sosa ; Bera, Anil K. ; Rojas, Gabriel Montes
Institutions:	Departamento de Economía, Universidad de San Andrés
Subject:	specification tests \| LM tests \| artificial regression

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Economic Letters, Vol.104, pp. 64-68 Number 97
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008541350