Some aspects of statistical inference for econometrics
This thesis is concerned with examining relationships among the various asymptotic hypothesis testing principles in econometric settings and with developing applications of the Lagrange multiplier (LM) procedure to econometric problems. For a wide range of hypothesis testing situations, particularly those associated with detecting misspecification errors in regression models, it is argued that the LM method is most useful. The LM test, which is asymptotically equivalent to the likelihood...[Show more]
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