Dear all,
Does anybody know whether the (general) Lagrange Multiplier testing
framework for restrictions on linear models has been implemented in some
package?
My goal is to test for omitted variables, i.e. restrictions of the kind
beta_i=0, in the specification of an econometric model.
There are some particular implementations in this fashion in the lmtest
package (e,g, the bgtest() function, where the lagged residuals are
taken as the omitted variable); before trying to adapt that code, I
would like to check out if there are ready-to-use solutions available.
Thanks in advance
Giovanni
Giovanni Millo
Research Dept.
Assicurazioni Generali SpA
Ai sensi del D.Lgs.196/2003 si precisa che le informazioni contenute in questo
messaggio sono riservate ed a uso esclusivo del destinatario. Qualora il
messaggio in parola Le fosse pervenuto per errore, La invitiamo ad eliminarlo
senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente comunicazione.
Grazie.<BR><BR>Pursuant to Legislative Decree No. 196/2003, you are
hereby informed that this message contains confidential information intended
only for the use of the addressee. If you are not the addressee, and have
received this message by mistake, please delete it and immediately notify us.
You may not copy or disseminate this message to anyone. Thank you.
[[alternative HTML version deleted]]
