Lagrange Multiplier Test

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August 31, 2024 4 min read Definitions
Lagrange Multiplier (LM) Test: Statistical Hypothesis Testing
Statistics Economics Lagrange Multiplier Test Hypothesis Testing Maximum Likelihood Estimation Chi-Square Distribution Statistical Methods
The Lagrange Multiplier (LM) Test, also known as the score test, is used to test restrictions on parameters within the maximum likelihood framework. It assesses the null hypothesis that the constraints on the parameters hold true.
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