Bera, Anil K; Lee, Sangkyu - In: Review of Economic Studies 60 (1993) 1, pp. 229-40
The authors apply the White information matrix test to the linear regression model with autocorrelated errors. A special case of one component of the test is found to be identical to the En gle Lagrange multiplier test for autoregressive conditional heteroskedasticity. Given A. D. Chesher's...