Search Results - subject:"Lagrange Multiplier"

Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors: An Application to Hedonic Housing Prices...

Baltagi, Badi H.; Bresson, Georges - Institute for the Study of Labor (IZA) - 2010

. We generalize the approach of Wang and Kockelman (2007) and propose joint and conditional Lagrange Multiplier tests for …

Persistent link: https://www.econbiz.de/10008682245

Inference in Regression Models with Many Regressors

Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2009

We investigate the behavior of various standard and modified F, LR and LM tests in linear homoskedastic regressions, adapting an alternative asymptotic framework where the number of regressors and possibly restrictions grows proportionately to the sample size. When restrictions are not numerous,...

Persistent link: https://www.econbiz.de/10004969066

Estimating structural VARMA models with uncorrelated but non-independent error terms

Boubacar Mainassara, Yacouba; Francq, Christian - Volkswirtschaftliche Fakultät, … - 2009

in the standard framework. Modified versions of the Wald, Lagrange Multiplier and Likelihood Ratio tests are proposed for …

Persistent link: https://www.econbiz.de/10005014730

A Generalized Spatial Panel Data Model with Random Effects

Baltagi, Badi H.; Egger, Peter; Pfafermayr, Michael - Center for Policy Research, Maxwell School - 2009

This paper prooses a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...

Persistent link: https://www.econbiz.de/10005698358

Correlation Testing in Time Series, SpatialandCross-Sectional Data

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2009

computationally simple tests isjustified. These specialize to Lagrange multiplier tests against parametric departuresof various kinds … class of computationally simple tests is justified. These specialize to Lagrange multiplier tests against parametric …. JEL Classifications: C21; C22; C29 Keywords: Correlation: heteroscedasticity; Lagrange multiplier tests …

Persistent link: https://www.econbiz.de/10008838725

Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test

Wuertz, Diethelm; Katzgraber, Helmut - Volkswirtschaftliche Fakultät, … - 2009

It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for …

Persistent link: https://www.econbiz.de/10008559015

Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity

Jun, Yae Ji; Cho, Jin Seo - Economic Research Institute, College of Business and … - 2015

This paper analyzes the interrelationships among Wald, likelihood ratio, Lagrange multiplier statistics for testing …

Persistent link: https://www.econbiz.de/10011191568

An efficient numerical method for simulating multiphase flows using a diffuse interface model

Lee, Hyun Geun; Kim, Junseok - In: Physica A: Statistical Mechanics and its Applications 423 (2015) C, pp. 33-50

This paper presents a new diffuse interface model for multiphase incompressible immiscible fluid flows with surface tension and buoyancy effects. In the new model, we employ a new chemical potential that can eliminate spurious phases at binary interfaces, and consider a phase-dependent variable...

Persistent link: https://www.econbiz.de/10011193990

Local convergence of the method of multipliers for variational and optimization problems under the noncriticality assumption

Izmailov, A.; Kurennoy, A.; Solodov, M. - In: Computational Optimization and Applications 60 (2015) 1, pp. 111-140

starting point is close to a noncritical Lagrange multiplier (which is weaker than second-order sufficiency). Local …

Persistent link: https://www.econbiz.de/10011151831

Testing spatial effects and random effects in a nested panel data model

He, Ming; Lin, Kuan-pin - In: Economics letters 135 (2015), pp. 85-91

Persistent link: https://www.econbiz.de/10011434913