Search Results - subject:"Lagrange Multiplier test" - EconBiz

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 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

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

Testing and modelling time series with time varying tails

Palumbo, Dario - 2021

Persistent link: https://www.econbiz.de/10013254110

Jackknife Lagrange multiplier test with many weak instruments

Matsushita, Yukitoshi; Otsu, Taisuke - 2020

Persistent link: https://www.econbiz.de/10012491703

Estimation of the Kronecker covariance model by quadratic form

Linton, Oliver; Tang, Haihan - 2020

Persistent link: https://www.econbiz.de/10013203297

Testing for random coefficient autoregressive and stochastic unit root models

Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10014288865

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