LMTEST: stata module to perform Lagrange multiplier test after constrained maximum likelihood estimation

Tauchmann H (2021)


Publication Language: English

Publication Type: Other publication type, Software-Modul

Publication year: 2021

URI: https://econpapers.repec.org/software/bocbocode/s458914.htm

Open Access Link: https://econpapers.repec.org/software/bocbocode/s458914.htm

Abstract

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(). 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. Greene, 2012, p. 564). 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). Unlike test, the syntax of lmtest does not involve specifying the restrictions to be tested. The restrictions are rather specified by the option constraints() in the command syntax used for estimating the model. This corresponds to the logic of the Lagrange multiplier test to estimate only the restricted version of a model.

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How to cite

APA:

Tauchmann, H. (2021). LMTEST: stata module to perform Lagrange multiplier test after constrained maximum likelihood estimation.

MLA:

Tauchmann, Harald. LMTEST: stata module to perform Lagrange multiplier test after constrained maximum likelihood estimation. 2021.

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