{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,24]],"date-time":"2025-09-24T08:28:20Z","timestamp":1758702500701},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2000,4,1]],"date-time":"2000-04-01T00:00:00Z","timestamp":954547200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,4]]},"abstract":"<jats:p>The paper considers different versions of the Lagrange \nmultiplier (LM) tests for autocorrelation and\/or for conditional \nheteroskedasticity. These versions differ in terms of the \nresiduals, and of the functions of the residuals, used \nto build the tests. In particular, we compare ordinary \nleast squares versus least absolute deviation (LAD) residuals, \nand we compare squared residuals versus their absolute \nvalue. We show that the LM tests based on LAD residuals \nare asymptotically distributed as a \u03c7<jats:sup>2<\/jats:sup> \nand that these tests are robust to nonnormality. The Monte \nCarlo study provides evidence in favor of the LAD residuals, \nand of the absolute value of the LAD residuals, to build \nthe LM tests here discussed.<\/jats:p>","DOI":"10.1017\/s026646660016205x","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"249-261","source":"Crossref","is-referenced-by-count":9,"title":["LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS"],"prefix":"10.1017","volume":"16","author":[{"given":"Marilena","family":"Furno","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,4,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660016205X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,2]],"date-time":"2019-04-02T19:23:49Z","timestamp":1554233029000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660016205X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2000,4]]}},"alternative-id":["S026646660016205X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660016205x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,4]]}}}