INVESTIGADORES
MONTES ROJAS Gabriel Victorio
artículos
Título:
Testing under local misspecification and artificial regressions
Autor/es:
BERA, ANIL; MONTES ROJAS, GABRIEL VICTORIO; SOSA ESCUDERO, WALTER
Revista:
ECONOMICS LETTERS
Editorial:
NORTH-HOLLAND
Referencias:
Año: 2009 vol. 104 p. 66 - 66
ISSN:
0165-1765
Resumen:
This paper establishes a useful additivity property of LM tests using an artificial regression framework, that links joint, marginal and Bera-Yoon `adjusted' tests. In particular, it is shown that the latter can be simply derived as the difference between a joint test and the marginal test for the nuisance parameter. This framework also provides an intuitive geometrical illustration of the Bera-Yoon principle.