GNR, MGR, and exact misspeclfication testing

Kenneth Stewart and Kenneth Stewart
Authors registered in the RePEc Author Service: Kenneth George Stewart

Econometric Reviews, 2000, vol. 19, issue 2, 233-240

Abstract: The Gauss-Newton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the Milliken-Graybill regression is a GNR. Hence one interpretation of Milliken-Graybill is that they identified a class of nonlinear models for which the GNR yields an exact test.

Date: 2000
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Working Paper: Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions (1998)
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DOI: 10.1080/07474930008800469

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