The Lagrangian Multiplier Test

Silvey, S. D.

doi:10.1214/aoms/1177706259

Cited by 392 publications

(148 citation statements)

References 4 publications

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“…We tested the asymmetry between an increasing or decreasing oil Brent price and the industrial production using the TAR model [26] and Wald tests [27].…”

Section: Asymmetry Testsmentioning

confidence: 99%

Oil Price and Economic Resilience. Romania’s Case

Dudian

Mosora

et al. 2017

Sustainability

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Abstract:The emerging economies that do not face fiscal, monetary and foreign debt pressures can use the savings generated by lower oil prices for investments in order to generate economic growth. Hence, there is no doubt that the oil price affects the economy's resilience to shocks. The importance of this impact derives from the magnitude of the price change and its diffusion within the economy. Moreover, the sustainability of any company and of the economy as a whole is subject to the availability and the price of the energy resources. The cost of these resources is an important variable used in the majority of the models regarding the assessment of sustainable development. Therefore, this article examines the impact of the oil price changes on industrial production in Romania. We found that, similar to other countries, in Romania, the growth rate of industrial production responds more strongly to a rise in oil prices. Thus, the oil Brent price has an asymmetric effect on the production evolution. This finding suggests that macroeconomic stabilization is more difficult to achieve when the oil price rises.

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“…We tested the asymmetry between an increasing or decreasing oil Brent price and the industrial production using the TAR model [26] and Wald tests [27].…”

Section: Asymmetry Testsmentioning

confidence: 99%

Oil Price and Economic Resilience. Romania’s Case

Dudian

Mosora

et al. 2017

Sustainability

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“…It is well-known that minus twice the LR statistic has a limiting central chi-square distribution under the null hypothesis (Wilks (193 8) ), and a limiting non-central chisquare distribution under a sequence of local alternatives (Wald (1943)) with a non-centrality parameter equal to that of the Wald statistic (Wald (1943)) and Lagrange Multiplier statistic (Aitchinson and Sil vey (1958) , Silvey (1959) ). However , as Foutz and Srivastana 4 (1977) , Kent (1982) , and White (1982a) pointed out, when the largest model is misspecified, the LR statistic is no longer ne cessarily chi square distributed under the null hypothesis where the null hypothesis must be appropriately redefined in terms of the pseudo-true values satisfying the specified restrictions .…”

Section: Introduction Quang H Vuong California Institute Of Technologymentioning

confidence: 99%

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Vuong¹

1989

Econometrica

4,925

3,637

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“…Now, we consider procedures for testing H 0 : δ δ δ = 0 0 0 against H 1 : δ δ δ 0 0 0. The asymptotically equivalent test methods are discussed by Kahng (1995), namely the likelihood ratio(LR) test introduced by Neyman and Pearson (1928) and the score(S ) test due originally to Rao (1947) and developed further by Silvey (1959). These test statistics are defined as LR = n[log S (θ θ θ, 0 0 0) − log S (θ θ θ (I) ,δ δ δ)] and S = e e e …”

Section: Outlier Tests In Nonlinear Regressionmentioning

confidence: 99%

Accuracy of Multiple Outlier Tests in Nonlinear Regression

Kahng¹

2011

Communications for Statistical Applications and Methods

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The original Bates-Watts framework applies only to the complete parameter vector. Thus, guidelines developed in that framework can be misleading when the adequacy of the linear approximation is very different for different subsets. The subset curvature measures appear to be reliable indicators of the adequacy of linear approximation for an arbitrary subset of parameters in nonlinear models. Given the specific mean shift outlier model, the standard approaches to obtaining test statistics for outliers are discussed. The accuracy of outlier tests is investigated using subset curvatures.

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The Lagrangian Multiplier Test

Cited by 392 publications

References 4 publications

Oil Price and Economic Resilience. Romania’s Case

Oil Price and Economic Resilience. Romania’s Case

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Accuracy of Multiple Outlier Tests in Nonlinear Regression

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