What is the null hypothesis of LM test?
The null hypothesis is that there is no serial correlation of any order up to p. Because the test is based on the idea of Lagrange multiplier testing, it is sometimes referred to as an LM test for serial correlation. A similar assessment can be also carried out with the Durbin–Watson test and the Ljung–Box test.
What is the null hypothesis for breusch-Pagan test?
The null hypothesis for this test is that the error variances are all equal. The alternate hypothesis is that the error variances are not equal. More specifically, as Y increases, the variances increase (or decrease).
When did Breusch and pagan create the Lagrange multiplier test?
1) Breusch, Pagan (1980). “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics.” Review of Economic Studies, 47, 239–253. 2) Breusch & Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation.
How is the Breusch-Pagan test used in statistics?
In statistics, the Breusch–Pagan test, developed in 1979 by Trevor Breusch and Adrian Pagan, is used to test for heteroskedasticity in a linear regression model. It was independently suggested with some extension by R. Dennis Cook and Sanford Weisberg in 1983 ( Cook–Weisberg test ). Derived from the Lagrange multiplier test principle,
How is the Lagrange multiplier test used in econometrics?
“The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics.” Review of Economic Studies, 47, 239–253. 2) Breusch & Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287–1294
How is the LM test used in Wald testing?
The LM test can be interpreted as a Wald test of the distance from zero of the first derivative vector of the log likelihood function (the score vector) of the unrestricted model evaluated at the restricted maximum likelihood estimates.
https://www.youtube.com/watch?v=_M7CDVWb0lQ