This paper examines some implications of the observation that the same Lagrange multiplier test is sometimes appropriate for quite different alternative hypotheses. A characterization of the class of such alternatives is developed which suggests a simple approach to testing for misspecification, and the consequences for finite sample power properties are examined by Monte Carlo experiments.
MLA
Godfrey, L. G.. “On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis.” Econometrica, vol. 49, .no 6, Econometric Society, 1981, pp. 1443-1455, https://www.jstor.org/stable/1911410
Chicago
Godfrey, L. G.. “On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis.” Econometrica, 49, .no 6, (Econometric Society: 1981), 1443-1455. https://www.jstor.org/stable/1911410
APA
Godfrey, L. G. (1981). On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis. Econometrica, 49(6), 1443-1455. https://www.jstor.org/stable/1911410
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