Download or read book The Lagrange multiplier test and its applications to model specification in econometrics written by T. S. Breusch and published by . This book was released on 1978 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Lagrange Multiplier Test and Its Applications to Model Specification written by Trevor Stanley Breusch and published by . This book was released on 1978 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Misspecification Tests in Econometrics written by L. G. Godfrey and published by Cambridge University Press. This book was released on 1988 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.

Download or read book Lagrange Multiplier Approach to Variational Problems and Applications written by Kazufumi Ito and published by SIAM. This book was released on 2008-01-01 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lagrange multiplier theory provides a tool for the analysis of a general class of nonlinear variational problems and is the basis for developing efficient and powerful iterative methods for solving these problems. This comprehensive monograph analyzes Lagrange multiplier theory and shows its impact on the development of numerical algorithms for problems posed in a function space setting. The authors develop and analyze efficient algorithms for constrained optimization and convex optimization problems based on the augumented Lagrangian concept and cover such topics as sensitivity analysis, convex optimization, second order methods, and shape sensitivity calculus. General theory is applied to challenging problems in optimal control of partial differential equations, image analysis, mechanical contact and friction problems, and American options for the Black-Scholes model.

Download or read book Some Applications of the Lagrange Multiplier Test in Econometrics written by Tsai-Fen Lin and published by . This book was released on 1985 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Lagrange multiplier tests of time series models written by J R M. Hosking and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Properties of the Lagrange Multiplier Test Under Misspecification written by Pentti Saikkonen and published by . This book was released on 1986 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A lagrange multiplier test for garch models written by John H. H. Lee and published by . This book was released on 1991 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Lagrange multiplier test of multivariate time series models written by J R M. Hosking and published by . This book was released on 1981 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Adequacy of Lagrange Multiplier Test written by Mei-Yu Lee and published by . This book was released on 2014 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the distribution of the Lagrange multiplier test, LM test, and focuses on what factors affect the distribution of the LM test estimator. It is worth noting that due to Chi-square distribution properties, the degree of freedom depends not only on the lagged-number of autocorrelation, but also on the number of independent variables whatever the sample sizes, that is, degree of freedom is the lagged-number of autocorrelation plus the number of independent variables. The result also indicates that the LM test estimator is not necessary to become Chi-square distribution because the different effect of the sample size and the number of independent variables, nevertheless, the law of large number, sample size is larger than 1000, leads the LM test estimator toward to Chi-square distribution.

Download or read book A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model written by Paul Catani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Lagrange Multiplier Test for Garch Models written by John H. H. Lee and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Alternative Forms and Properties of the Lagrange Multiplier Test written by Anil K. Bera and published by . This book was released on 1983 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Simple Lagrange Multiplier Test for Lognormal Regression written by Dale J. Poirier and published by . This book was released on 1979 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Lagrange Multiplier Test for Autocorrelation in the Presence of Linear Restrictions written by G. Evans and published by . This book was released on 1984 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A LAGRANGE MULTIPLIER TEST OF THE RESTRICTIONS FOR A SIMPLE RATIONAL EXPECTATIONS MODEL written by Allan W. GREGORY and published by . This book was released on 1982 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Lagrange Multiplier Tests for Fractional Integration written by Morten Ørregaard Nielsen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a multivariate Lagrange multiplier (LM) test for fractional integration. We derive and analyze the LM statistic and show that it is asymptotically noncentral chi-squared distributed under local alternatives, and that, under Gaussianity, the LM test is asymptotically efficient against local alternatives. It is shown that the regression variant in Breitung and Hassler (2002, Journal of Econometrics 110, 167-185) is not equivalent to the LM test in the multivariate case, although it is in the univariate case. A generalization of the LM test that explicitly allows for different integration orders for each variable is also introduced. The finite sample properties of the LM test are evaluated by Monte Carlo experiments which demonstrate that it is superior to the Breitung and Hassler (2002) test. An application to multivariate time series of real interest rates for six countries is offered, demonstrating that more clear-cut evidence can be drawn from multivariate tests compared to conducting several univariate tests.