GNR, MGR, and exact misspeclfication testing |
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Authors: | Kenneth G. Stewart Kenneth G. Stewart |
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Affiliation: | a Department of Economics, University of Victoria, Victoria, British Columbia, Canada |
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Abstract: | The Gauss-Newton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the Milliken-Graybill regression is a GNR. Hence one interpretation of Milliken-Graybill is that they identified a class of nonlinear models for which the GNR yields an exact test. |
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