On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests

Ken Brown () and Francisco Cribari-Neto

Brazilian Review of Econometrics, 1992, vol. 12, issue 2

Abstract: This paper discusses some issues related to the use of the Lagrange multiplier, likelihood ratio and Wald tests in econometrics. In particular, the paper focuses on three issues: (i) the Wald test with nonlinear constraints; (ii) conflict among criteria and size correction; and (iii) the derivation of an improved LM statistic. Some Monte Carlo simulation results illustrate the discussion.

Date: 1992
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