Testing Under Local Misspecification and Artificial Regressions

Walter Sosa Escudero (), Anil K. Bera and Gabriel Montes Rojas
Additional contact information
Anil K. Bera: University of Illinois
Gabriel Montes Rojas: City University London
Authors registered in the RePEc Author Service: Gabriel Montes-Rojas ()

No 97, Working Papers from Universidad de San Andres, Departamento de Economia

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)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2009-03, Revised 2009-10
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Citations: View citations in EconPapers (6)

Published in Economic Letters, Vol.104, pp. 64-68

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