![]() ![]() When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s458914. You can help correct errors and omissions. Suggested CitationĪll material on this site has been provided by the respective publishers and authors. ![]() This corresponds to the logic of the Lagrange multiplier test to estimate only the restricted version of a model. The restrictions are rather specified by the option constraints() in the command syntax used for estimating the model. Unlike test, the syntax of lmtest does not involve specifying the restrictions to be tested. lmtest requires that the preceding estimation command allows the option constraints() and the maximization options iterate() and from(), and also requires that the constraints are saved in e(Cns) and the score vector is saved in e(gradient). lmtest complements test and lrtest that implement the Wald test and the likelihood ratio test, respectively, which - together with the Lagrange-multiplier test - represent the three canonical approaches to testing hypotheses after maximum likelihood (ML) estimation (cf. Lmtest performs a Lagrange-multiplier (LM) test (Silvey, 1959), also referred to as a score test, of the restrictions that were previously imposed on the most recently estimated model by specifying the option constraints(). ![]()
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