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Название: Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics
Автор: Robert G. Engle
Аннотация:
If the confrontation of economic theories with observable phenomena is the objective of empirical research, then hypothesis testing is the primary tool of analysis. To receive empirical verification, all theories must eventually be reduced to a testable hypothesis. In the past several decades, least squares based tests have functioned admirably for this purpose. More recently, the use of increasingly complex statistical models has led to heavy reliance on maximum likelihood methods for both estimation and testing.