Econometrica: Nov 1981, Volume 49, Issue 6

On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis<1443:OTIOTL>2.0.CO;2-K
p. 1443-1455

L. G. Godfrey

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.

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