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The Lagrange multiplier test for autocorrelation in the presence of linear restrictions. (English) Zbl 1273.62155

Summary: We report the correct form of the Lagrange Multiplier (LM) test for autocorrelation in a regression model subject to linear restrictions. A principal finding is that homogenous restrictions are imposed in the auxiliary regression of the LM test even if inhomogenous restrictions apply to the original regression model.

MSC:

62J05 Linear regression; mixed models
62P20 Applications of statistics to economics
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