Search Results - subject:"Lagrange Multiplier"

Testing the normality assumption in an ordered probit model using an artificial regression : some results for the LM-test

Wilde, Joachim; Forstinger, Sarah - 2026

The key assumption of normally distributed error terms is usually not tested in empirical practice when using ordered probit models. Therefore, an artificial regression version of the LM test against the class of Pearson distributions is derived that can be implemented more easily than the...

Persistent link: https://www.econbiz.de/10015615792

Modelling time-varying volatility interactions

Campos-Martins, Susana; Amado, Cristina - In: International review of financial analysis 111 (2026), pp. 1-15

Persistent link: https://www.econbiz.de/10015647426

Testing for spatial lag dependence and homoskedasticity in a random effects panel data model

Baltagi, Badi H.; Liu, Long - In: Economics letters 254 (2025), pp. 1-5

Persistent link: https://www.econbiz.de/10015467978

Bounded strategies for maximizing the sharpe ratio

Ye, Jiang; Wang, Yiwei; Raza, Muhammad Wajid - In: International journal of theoretical and applied … 26 (2023) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10014305921

Testing the endogeneity of a spatial weight matrix in the weak-tied spatial dynamic panel data model

Lee, Jieun - In: Econometric reviews 44 (2025) 4, pp. 462-511

Persistent link: https://www.econbiz.de/10015196619

A test for time-varying smooth transition conditional covariance models in multivariate time series

Sanhaji, Bilel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 4, pp. 425-436

Persistent link: https://www.econbiz.de/10015460430

Hypothesis testing statistics based on posterior output with applications in financial econometrics

Li, Yong - In: Financial econometrics : theory and applications, (pp. 306-339). 2025

Persistent link: https://www.econbiz.de/10015426502

Oracally efficient estimation and specification testing of partially linear additive spatial autoregressive models

Chen, Shiyuan; Song, Xiaojun; Yu, Jihai - In: Econometric reviews 44 (2025) 8, pp. 1120-1143

Persistent link: https://www.econbiz.de/10015554885

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

Modelling dynamic interdependence in nonstationary variances with an application to carbon markets

Campos-Martins, Susana; Amado, Cristina - In: Journal of economic dynamics & control 173 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015556550