On the Robustness of LM, LR, and W Tests in Regression Models
在小样本下发现，当误差服从t分布时，LR检验稳健而LM和W检验不稳健；大样本下三者均稳健。还讨论了误差为多元t分布而非正态分布的影响。
In this paper we show that, in the small sample case, while the LR test is robust, the LM and W tests are not robust when the errors are Student t. For the large sample, however, all three tests are found to be robust. A variation of the W test is also considered and it turns out to be nonrobust. The implications of assuming the errors to be distributed as multivariate Student t, rather than multivariate normal, are also discussed. It is found that not all of Evans and Savin's [4] results carry through when the errors are Student t.