Title: On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests
Abstract: This paper discusses some issues related to the use of the Lagrange multiplier, likelihood ratio and Wald tests in econometrics. In particular, the paper focuses on three issues: (i) the Wald test with nonlinear constraints; (ii) conflict among criteria and size correction; and (iii) the derivation of an improved LM statistic. Some Monte Carlo simulation results illustrate the discussion.