Search Results - subject:"Lagrange Multiplier Testing"

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896

Persistent link: https://www.econbiz.de/10013534577

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021

Persistent link: https://www.econbiz.de/10012434016

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012431074

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Persistent link: https://www.econbiz.de/10012243070

A Full Heteroscedastic One-Way Error Components Model for Incomplete Panel : Maximum Likelihood Estimation and Lagrange Multiplier Testing

LEJEUNE, Bernard - Center for Operations Research and Econometrics (CORE), … - 1996

In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components …

Persistent link: https://www.econbiz.de/10005008551