Testing under local misspecification and artificial regressions

Anil K. Bera, Montes-Rojas, Gabriel and Sosa-Escudero, Walter

Economics Letters, 2009, vol. 104, issue 2, pages 66-68

Abstract: 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.

Keywords: Specification; tests; LM; tests; Artificial; regression (search for similar items in EconPapers)
Date: 2009
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