Chapter 13 Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Specification Tests in Econometrics

1978 • 17,234 citations

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

1980 • 7,455 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

1951 • 3,595 citations

The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses

1938 • 3,059 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Tests of statistical hypotheses concerning several parameters when the number of observations is large

1943 • 2,079 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

1978 • 1,361 citations

TESTING FOR AUTOCORRELATION IN DYNAMIC LINEAR MODELS*

1978 • 1,343 citations

The Statistical Analysis of Time Series.

1972 • 1,286 citations

Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables

1970 • 1,179 citations

Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

1978 • 729 citations

Theoretical Statistics

1975 • 723 citations

Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation

1948 • 696 citations

Econometric Analysis for National Economic Planning

1971 • 617 citations

Maximum-Likelihood Estimation of Parameters Subject to Restraints

1958 • 596 citations

A note on studentizing a test for heteroscedasticity

1981 • 567 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1977 • 484 citations

On Estimation of the CES Production Function

1967 • 465 citations

Testing Statistical Hypotheses.

1960 • 445 citations

The Lagrangian Multiplier Test

1959 • 441 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model

1977 • 343 citations

Model specification tests

1982 • 294 citations

Testing for multiplicative heteroskedasticity

1978 • 283 citations

On Optimal Asymptotic Tests of Composite Statistical Hypotheses

1967 • 279 citations

Misspecified models with dependent observations

1982 • 256 citations

Maximum Likelihood Estimation for Dependent Observations

1976 • 255 citations

Social Experimentation, Truncated Distributions, and Efficient Estimation

1977 • 234 citations

Some Tests of Dynamic Specification for a Single Equation

1980 • 221 citations

Mathematical Statistics

1967 • 206 citations

Liquidity and inflation effects on consumers' expenditure

1981 • 205 citations

Testing the adequacy of a time series model

1979 • 175 citations

Conflict Among the Criteria Revisited; The W, LR and LM Tests

1982 • 170 citations

A Remark on Hausman's Specification Test

1982 • 164 citations

Probability and Statistics

1959 • 130 citations

Conflict Among Criteria for Testing Hypotheses: Extensions and Comments

1979 • 109 citations

An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification

2000 • 104 citations

Criteria for Evaluation of Econometric Models

1972 • 90 citations

Lagrange-Multiplier Tests of Time-Series Models

1980 • 63 citations

Conflict Among Testing Procedures in a Linear Regression Model with Autoregressive Disturbances

1976 • 59 citations

Estimation of the Liquidity Trap with a Generalized Functional Form

1972 • 42 citations

On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis

1981 • 41 citations

The equivalence of two tests of time series model adequacy

1980 • 39 citations

Testing the specification of a fitted autoregressive-moving average model

1980 • 35 citations

Comparing specification tests and classical tests

1980 • 25 citations

The Keynesian Demand-for-Money Function: Another Look and Some Additional Evidence

1969 • 14 citations

A Nonlinear, Maximum Likelihood Estimate of the Liquidity Trap

1969 • 14 citations

Non-Linear Estimates of the Liquidity Trap

1971 • 13 citations

Estimation of the price elasticity of demand facing metropolitan producers

1979 • 12 citations

A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE

1979 • 11 citations

Comparing alternative asymptotically equivalent tests

1983 • 10 citations