Small sample properties of alternative forms of the Lagrange Multiplier test
Economics LettersPublished 1 January 1983
Russel Davidson, James G. MacKinnon
Citations66
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
We argue that alternative forms of the LM test may perform very differently in small samples. One common variant often yields misleading inferences, while an alternative variant, which we have recently proposed, performs much better.
Keywords
MathematicsDecision Sciences
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