The idea of using estimating functions goes a long way back, at least to Karl Pearson's introduction to the method of moments in 1894. It is now a very active area of research in the statistics literature. One aim of this chapter is to provide an account of the developments relating to the...

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...

The assumption of serial independence of disturbances is the starting point of most of the work done on analyzing market disequilibrium models. We derive tests for serial dependence given normality and homoscedasticity using the Lagrange multiplier (LM) test principle. Although the likelihood...