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Keyword: lagrange multiplier test;

3 results found.

Econometrics Paper

Jackknife Lagrange multiplier test with many weak instruments

Yukitoshi Matsushita and Taisuke Otsu

This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sa...Read more...

5 August 2020

Econometrics Paper

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson and Francesca Rossi

For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (x squared) first-order asymptotic approximation to critical valu...Read more...

20 November 2013

Econometrics Paper

Correlation Testing in Time Series, Spatial and Cross-Sectional Data

Peter M Robinson

We provide a general class of tests for correlation in time series, spatial, spatiotemporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation ...Read more...

January 2009