Publication: Contrastes M y de la matriz de información dinámica con una aplicación a regresión lineal
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1989
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Facultad de Ciencias Económicas y Empresariales. Decanato
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Abstract
Este trabajo estudia la relación que hay entre contrastes m de momentos, contrastes de los multiplicadores de Lagrange y contrastes de la matriz de información dinámica. Se obtiene que bajo condiciones generales los contrastes m pueden ser considerados contrastes de los multiplicadores de Lagrange. También se obtienen formas simplificadas de computar los contrastes m y de la matriz de información dinámica bajo diagonalidad por bloques de la matriz de información y/o heteroscedasticidad condicional.
Los resultados anteriores se aplican al caso de contrastes de la matriz de información dinámica en el modelo de regresión lineal, obteniéndose como casos particulares muchos contrastes ya conocidos, así como otros nuevos.
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Clasificación AMS: 53-02
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