Search Results - subject:"Lagrange Multiplier tests"

Target Zones and Forward Rates in a Model with Repeated Realignments

Bodnar, Gordon M.; Bartolini, Leonardo - International Monetary Fund (IMF) - 1992

This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band....

Persistent link: https://www.econbiz.de/10005248258

Testing for Consistency using Artificial Regressions

Davidson, Russell; MacKinnon, James G. - 1987

of slightly modified versions of any artificial linear regression that can be used to calculate Lagrange multiplier tests …

Persistent link: https://www.econbiz.de/10011940426

Testing for Consistency using Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 1987

of slightly modified versions of any artificial linear regression that can be used to calculate Lagrange multiplier tests …

Persistent link: https://www.econbiz.de/10005653049