Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

DOI10.1016/J.CSDA.2006.05.020MaRDI QIDQ1019963zbMATH OpenOpenAlexFDO

Authors L. G. Godfrey

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.whiterose.ac.uk/2528/1/LGGodfrey_CSDA_final.pdf

zbMATH Keywords

bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• The Lagrange multiplier test for autocorrelation in the presence of linear restrictions
• scientific article; zbMATH DE number 1124636
• Testing for serial correlation in fixed-effects panel data models
• Testing for serial correlation in multivariate regression models
• LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS

Cites work

• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• Bootstrap tests for autocorrelation.
• Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Maximum Likelihood Estimation of Misspecified Models
• Misspecification tests and their uses in econometrics
• On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• Parametric bootstrapping with nuisance parameters
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

Cited in

(6)

• On testing for serial correlation of unknown form using wavelet thresholding
• Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model
• Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models
• Testing serial correlation for partially nonlinear models
• Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model
• scientific article; zbMATH DE number 1124636 (Why is no real title available?)

This page was built for publication: Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1019963)