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Mon 15 Nov, 2021 04:25 pm

For obtaining the Lagrange Multiplier Statistics I follow this steps (Wooldridge 2019, Introductory Econometrics):

1. Regress π¦ on the restricted set of independent variables and consider the residuals π’Μ;

2. Regress π’Μ on all of the independent variables and obtain the R-squared π
^2_π’

3. Compute πΏπ=πβ
π
^2_π’

4. Compare πΏπ to the appropriate critical value, π, in a π^2_π distribution: if πΏπ>π the null hypothesis is rejected and all the coefficients.

My doubt is about point 2., I don't understand if I should include an intercept in regressing the π’Μ on the independent variables or not. If I do include the intercept the resulting π
^2_π’ is the same as the one from the unrestricted regression.