Pitfalls of testing non-nested hypotheses by the lagrange multiplier method

17Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.
Get full text

Abstract

The paper considers the problem of testing non-nested hypotheses by the application of the Lagrange Multiplier (LM) method to an exponentially combined likelihood function. It shows that the general test statistic derived by Atkinson (1970) and later by Breusch and Pagan (1980) can be regarded as an LM statistic only if it can be assumed that the parameters of the alternative model are known. When none of the parameters are known, the paper shows that a straightforward application of the LM method to testing non-nested hypotheses breaks down and it discusses the reasons for this failure. © 1981.

Cite

CITATION STYLE

APA

Pesaran, M. H. (1981). Pitfalls of testing non-nested hypotheses by the lagrange multiplier method. Journal of Econometrics, 17(3), 323–331. https://doi.org/10.1016/0304-4076(81)90005-1

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free