Bera, Anil K.; Montes-Rojas, Gabriel; Sosa-Escudero, Walter - In: Economics Letters 104 (2009) 2, pp. 66-68
An additivity property of LM tests is derived, linking joint, marginal and Bera-Yoon "adjusted" tests, hence the latter can be derived as the difference of the first two. An artificial regression framework provides an intuitive geometrical illustration of the Bera-Yoon principle.
