Since 2014
On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests
On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests |
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| Creator |
Brown, Kenneth; From the PhD program in Economics at the University of Illinois.
Cribari-Neto, Francisco; From the PhD program in Economics at the University of Illinois. |
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| Subject |
—
— — — |
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| Description |
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.
O presente artigo discute alguns aspectos relacionados ao uso dos testes multiplicador de Lagrange, razão de verossimilhança e Wald em econometria. Em particular, o artigo se concentra em três tópicos: (i) o teste Wald com restrições não-lineares; (ii) conflito entre critérios e correção de tamanho e (iii) derivação de uma estatística LM melhorada. Resultados de simulação de Monte Carlo ilustram a discussão. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
1992-11-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2990
10.12660/bre.v12n21992.2990 |
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| Source |
Brazilian Review of Econometrics; Vol 12, No 2 (1992); 167-194
Brazilian Review of Econometrics; Vol 12, No 2 (1992); 167-194 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2990/1885
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