A simple message for autocorrelation correctors: Don't

DOI10.1016/0304-4076(94)01671-LMaRDI QIDQ1899249zbMATH OpenOpenAlexFDO

Authors Grayham E. Mizon

Publication date 6 February 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01671-l

zbMATH Keywords

common factorsfirst-order autoregressive errorsautoregressive least squares estimationcorrecting for residual autocorrelationresidual serial correlation

Mathematics Subject Classification ID

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

Recommendations

• Publication:5750225
• scientific article; zbMATH DE number 4199392
• Small sample properties of estimators in the autocorrelated error model: a review and some additional simulations
• Dealing with serial correlation in regression
• Regression diagnostics in an autocorrelated model

Cites work

• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• scientific article; zbMATH DE number 48305 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Cointegration tests in the presence of structural breaks
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Exogeneity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Some Tests of Dynamic Specification for a Single Equation
• Spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• 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

Cited in

(10)

• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Estimating autocorrelations in the presence of deterministic trends
• A unifying framework for analysing common cyclical features in cointegrated time series
• Typologies of linear dynamic systems and models
• Testing the currency-substitution model under the German hyperinflation
• scientific article; zbMATH DE number 4128271 (Why is no real title available?)
• Full maximum likelihood estimation of dynamic demand models
• A simple solution for spurious regressions
• scientific article; zbMATH DE number 4184808 (Why is no real title available?)
• Autocorrelation problem in the linear regression models with indicator variables

This page was built for publication: A simple message for autocorrelation correctors: Don't

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1899249)