What are the probability limits of (1/n)LM, where LM is defined in (11-42) under the null hypothesis

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What are the probability limits of (1/n)LM, where LM is defined in (11-42) under the null hypothesis that σ2u = 0 and under the alternative that σ2u ≠ 0?

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Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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