000267420 001__ 267420
000267420 005__ 20180131174113.0
000267420 037__ $$a2012-2018-567
000267420 041__ $$aeng
000267420 245__ $$aMarginal Likelihood Based Tests of Regression Disturbances
000267420 260__ $$c1993
000267420 269__ $$a1993-10-01
000267420 300__ $$a41
000267420 336__ $$aWorking or Discussion Paper
000267420 490__ $$aWorking Paper No. 14/93
000267420 520__ $$aThis paper presents general formulae for the likelihood ratio (LR), Wald (W), Lagrange multiplier (LM) and asymptotic locally most mean powerful (ALMMP) tests of linear regression disturbances using marginal likelihood methods. These tests can be derived by treating the maximal invariant statistic for these testing problems as the observed data. By way of illustration, the marginal-likelihood-based LR, W, LM and ALMMP tests are constructed for the separate problems of testing for general AR(4) disturbances and testing for the presence of Hildreth-Houck random coefficients. Empirical size calculations reported here and elsewhere suggest that this approach results in tests whose true sizes are much closer to the nominal size than their conventional counterparts.
000267420 542__ $$fBy depositing this Content ('Content') in AgEcon Search, I agree that  I am solely responsible for any consequences of uploading this Content to AgEcon Search and making it publicly available, and I represent and warrant that: I am either the sole creator and the owner of the copyrights and all other rights in the Content; or, without obtaining another’s permission, I have the right to deposit the Content in an archive such as AgEcon Search. To the extent that any portions of the Content are not my own creation, they are used with the copyright holder’s express permission or as permitted by law. Additionally, the Content does not infringe the copyrights or other intellectual property rights of another, nor does the Content violate any laws or another’s rights of privacy or publicity. The Content contains no restricted, private, confidential, or otherwise protected data or information that should not be publicly shared. I understand that AgEcon Search will do its best to provide perpetual access to my Content. In order to support these efforts, I grant the Regents of the University of Minnesota ('University'), through AgEcon Search, the following non-exclusive, irrevocable, royalty-free, world-wide rights and licenses: to access, reproduce, distribute and publicly display the Content, in whole or in part, in order to secure, preserve and make it publicly available, and to make derivative works based upon the Content in order to migrate the Content to other media or formats, or to preserve its public access. These terms do not transfer ownership of the copyright(s) in the Content. These terms only grant to the University the limited license outlined above.
000267420 546__ $$aEnglish
000267420 650__ $$aResearch Methods/ Statistical Methods
000267420 700__ $$aAra, Ismat
000267420 700__ $$aKing, Maxwell L.
000267420 8560_ $$fgoett110@umn.edu
000267420 8564_ $$s2302247$$uhttp://ageconsearch.umn.edu/record/267420/files/monash-162.pdf
000267420 8564_ $$s4598356$$uhttp://ageconsearch.umn.edu/record/267420/files/monash-162.pdf?subformat=pdfa$$xpdfa
000267420 909CO $$ooai:ageconsearch.umn.edu:267420$$pGLOBAL_SET
000267420 980__ $$a2012