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Modified Wald test for regression disturbances

✍ Scribed by Mizan R. Laskar; Maxwell L. King


Book ID
117333016
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
638 KB
Volume
56
Category
Article
ISSN
0165-1765

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Estimation and testing of regression dis
✍ Mizan R. Laskar; Maxwell L. King πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 129 KB

This paper derives the conditional proΓΏle restricted likelihood (CPRL) function and likelihood ratio (LR), Lagrange multiplier (LM) and Wald tests of the parameters involved in the covariance matrix of linear regression disturbances based on di erent modiΓΏed likelihood functions. A Monte Carlo exper