Search Results - subject:"LM Test"

An LM test for the conditional independence between regressors and factor loadings in panel data models with interactive effects

Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 743-761

Persistent link: https://www.econbiz.de/10015053450

A new test for non-linear hypotheses under distributional and local parametric misspecification

Bera, Anil K.; Doğan, Osman; Taṣpınar, Süleyman - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 669-685

Persistent link: https://www.econbiz.de/10014506833

On testing for spatial or social network dependence in panel data allowing for network variability

Liu, Xiaodong; Prucha, Ingmar R. - In: Journal of econometrics 247 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015555994

The impact of macroeconomic factors on the US Stock Exchange

Süslü, Cemil - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014290717

Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables

He, Ming; Lin, Kuan-pin - In: Econometrics : open access journal 3 (2015) 4, pp. 761-796

dependent variables. We focus on diagnostic testing procedures and derive Lagrange multiplier (LM) test statistics for a variety … of hypotheses within this model. We first construct the joint LM test for both the individual random effects and the two … Monte Carlo simulation to show the good finite sample performances of these LM test statistics and revisit the cigarette …

Persistent link: https://www.econbiz.de/10011411712

A Bayesian robust chi-squared test for testing simple hypotheses

Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Journal of econometrics 222 (2021) 2, pp. 933-958

Persistent link: https://www.econbiz.de/10012619808

Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables

He, Ming; Lin, Kuan-Pin - In: Econometrics 3 (2015) 4, pp. 761-796

Persistent link: https://www.econbiz.de/10011755310

An empirical study of the impact of operating and financial leverages on the performance of select Indian firms listed on the National Stock Exchange in India

Nandi, Rahul; Banerjee, Pradipta - In: International journal of Indian culture and business … 30 (2023) 4, pp. 478-496

Persistent link: https://www.econbiz.de/10015064580

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - 2019 - This draft: May 20, 2018

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10011958200

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - 2019

Persistent link: https://www.econbiz.de/10011959464