How to Do the Lagrange Multiplier (LM) Test? |【Five Minute Econometrics】Topic 52
00:00 Steps of the LM Test
03:37 An Example of the LM Test
【Five Minute Econometrics】(Econometric Tutorials)
Topic 52: How to Do the Lagrange Multiplier (LM) Test?
Today, we will explore the Lagrange Multiplier LM statistic and the LM test. We have learned the t-test and the F-test in previous topics. The LM test, like the F test, is used for testing multiple exclusion restrictions. The difference between them is that, in the F test, we estimate the unrestricted model and the restricted model. By contrast, in the LM test, we estimate the restricted model and the auxiliary model.
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