@article{Rahman:267421,
      recid = {267421},
      author = {Rahman, Shahidur and King, Maxwell L.},
      title = {Marginal Likelihood Score-Based Tests of Regression  Disturbances in the Presence of Nuisance Parameters},
      address = {1993-10-01},
      number = {2012-2018-568},
      series = {Working Paper No. 15/93},
      pages = {33},
      year = {1993},
      abstract = {This paper is concerned with tests of the covariance  matrix of the disturbances in the linear regression model  that involve nuisance parameters which cannot be eliminated  by usual invariance arguments. Score-based tests, namely  Lagrange multiplier (LM) and locally most mean powerful  (LMMP) tests are derived from the marginal likelihood.  Applications considered include (i) testing for random  regression coefficients; (ii) testing for secondorder  autoregressive (AR(2)) disturbances in the presence of  AR(1) disturbances; and (iii) testing for ARMA(1,1)  disturbances; each in the presence of AR(1) disturbances.  An empirical size and power comparison shows that typically  the new tests have more accurate asymPtotic critical values  and slightly more power than their respective conventional  counterparts.},
      url = {http://ageconsearch.umn.edu/record/267421},
      doi = {https://doi.org/10.22004/ag.econ.267421},
}