Testing under local misspecification and artificial regressions
Anil K. Bera,
Gabriel Montes-Rojas and
Authors registered in the RePEc Author Service: Walter Sosa Escudero () and
Gabriel Montes Rojas
Economics Letters, 2009, vol. 104, issue 2, 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.
Keywords: Specification; tests; LM; tests; Artificial; regression (search for similar items in EconPapers)
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Working Paper: Testing Under Local Misspecification and Artificial Regressions (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:104:y:2009:i:2:p:66-68
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