Search Results - subject:"Lagrange Multiplier"

Brinkhuis, Brinkhuis, J.; Protassov, V. - Faculteit der Economische Wetenschappen, Erasmus … - 2008

In this paper we give a short novel proof of the well-known Lagrange multiplier rule, discuss the sources of the power …

Persistent link: https://www.econbiz.de/10010837713

Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space

Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2008

We consider linearity testing in a general class of nonlinear time series model of order 1, involving a nonnegative nuisance parameter which (i) is not identified under the null hypothesis and (ii) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the...

Persistent link: https://www.econbiz.de/10005078679

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

Amado, Cristina; Teräsvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2008

a sequence of Lagrange multiplier tests, and the adequacy of the estimated models is investigated by Lagrange multiplier …

Persistent link: https://www.econbiz.de/10005771631

Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - Center for Policy Research, Maxwell School - 2008

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...

Persistent link: https://www.econbiz.de/10005698343

Testing for Random Effects and Spatial Lag Dependence in Panel Data Models

Baltagi, Badi H.; Liu, Long - Center for Policy Research, Maxwell School - 2008

This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

Persistent link: https://www.econbiz.de/10005698366

Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - Center for Policy Research, Maxwell School - 2008

A panel data regression model with heteroskedastic as well as spatially correlated disturbance is considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a...

Persistent link: https://www.econbiz.de/10005220946

Cost Minimization of a Competitive Firm

Moolio, Pahlaj; Islam, Jamal Nazrul - In: Indus Journal of Management & Social Science (IJMSS) 2 (2008) 2, pp. 148-160

performance in past to say something to obtain constrained optimal output in future. Considering Lagrange multiplier technique … in this paper to apply necessary and sufficient conditions for optimal values. We gave interpretation of Lagrange … multiplier and showed that its value is positive. Examining the behavior of the firm; that is, if the cost of a particular input …

Persistent link: https://www.econbiz.de/10008642648

A Bayesian Chi-Squared Test for Hypothesis Testing

Li, Yong; Liu, Xiao-Bin; Yu, Jun - School of Economics, Singapore Management University - 2014

statistic may be regarded as the Bayesian version of Lagrange multiplier test. Its asymptotic distribution is obtained based on …

Persistent link: https://www.econbiz.de/10010797651

Second-order Karush–Kuhn–Tucker optimality conditions for set-valued optimization

Zhu, S.; Li, S.; Teo, K. - In: Journal of Global Optimization 58 (2014) 4, pp. 673-692

-order composed contingent derivative, we extend the well-known Lagrange multiplier rule and the Kurcyusz–Robinson–Zowe regularity …

Persistent link: https://www.econbiz.de/10010896412

Testing the hypothesis of absence of unobserved confounding in semiparametric bivariate probit models

Marra, Giampiero; Radice, Rosalba; Missiroli, Silvia - In: Computational Statistics 29 (2014) 3, pp. 715-741

Lagrange multiplier and Wald tests for the hypothesis of absence of unobserved confounding are extended to the context …

Persistent link: https://www.econbiz.de/10010794856