The Lagrangean multiplier test for a model with two selectivity criteria

Seung Ahn

doi:10.1016/0165-1765(92)90154-Q

The Lagrangean multiplier test for a model with two selectivity criteria

Seung Ahn

Economics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

This paper shows that the usual F-statistic for the hypothesis of no selection bias for a model with two different selection rules is asymptotically equivalent to the LM statistic. This means that the F test has good power properties, at least asymptotically.

Original language	English (US)
Pages (from-to)	9-15
Number of pages	7
Journal	Economics Letters
Volume	38
Issue number	1
DOIs	https://doi.org/10.1016/0165-1765(92)90154-Q
State	Published - Jan 1992

ASJC Scopus subject areas

Finance
Economics and Econometrics

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abstract = "This paper shows that the usual F-statistic for the hypothesis of no selection bias for a model with two different selection rules is asymptotically equivalent to the LM statistic. This means that the F test has good power properties, at least asymptotically.",

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The Lagrangean multiplier test for a model with two selectivity criteria

Abstract

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