Dear all,
Does anybody know whether the (general) Lagrange Multiplier testing
framework for restrictions on linear models has been implemented in some
package?
My goal is to test for omitted variables, i.e. restrictions of the kind
beta_i=0, in the specification of an econometric model.
There are some particular implementations in this fashion in the lmtest
package (e,g, the bgtest() function, where the lagged residuals are
taken as the omitted variable); before trying to adapt that code, I
would like to check out if there are ready-to-use solutions available.
Thanks in advance
Giovanni
Giovanni Millo
Research Dept.
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