On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
研究拉格朗日乘子检验在备择假设变化时仍保持有效性的条件，通过蒙特卡洛实验分析有限样本下的检验功效，对计量经济学中模型设定检验有参考价值。
This paper examines some implications of the observation that the same Lagrange multiplier test is sometimes appropriate for quite different alternative hypotheses. A characterization of the class of such alternatives is developed which suggests a simple approach to testing for misspecification, and the consequences for finite sample power properties are examined by Monte Carlo experiments.