Parks, R.W.; Savin, N.E.; Wurtz, A.H. - Department of Economics, Tippie College of Business - 1997
Wald and Lagrange Multiplier (LM) tests can be based on three commonly used estimators of the information matrix : the expectation of the Hessian matric, the Hessian matrix without the expectation operator or the outer product (OP) matrix of the score vectors. Although the Wald and LM tests are...