Adequacy of Lagrange Multiplier Test

Mei-Yu Lee

European Economic Letters, 2014, vol. 3, issue 2, 32-35

Abstract: 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.

Keywords: Lagrange multiplier test; degree of freedom; serial correlation; autocorrelation (search for similar items in EconPapers)
JEL-codes: C15 C32 C53 C63 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://eelet.org.uk/EEL3(2)32-35.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:eueclt:0025

Access Statistics for this article

European Economic Letters is currently edited by Mike Taylor

More articles in European Economic Letters from European Economics Letters Group
Bibliographic data for series maintained by Mike taylor ( this e-mail address is bad, please contact ).