Differencing as a Test of Specification

DOI10.2307/2526372MaRDI QIDQ3667822zbMATH OpenOpenAlexFDO

Authors Charles I. Plosser, G. William Schwert, Halbert White

Publication date 1982

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526372

zbMATH Keywords

asymptotic local powerdifferenced modelsleast squares estimatorslinear time series regression modelsspecification testundifferenced models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(6)

• Model specification tests. A simultaneous approach
• Testing strategies for model specification
• OLS or GLS in the presence of specification error? An expected loss approach
• A simple solution of the spurious regression problem
• How effective are the reset tests for omitted variables
• A differencing test

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