A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model

DOI10.2307/2526843zbMATH Open0716.62088OpenAlexW4233322348MaRDI QIDQ3203886FDOQ3203886

Publication date: 1990

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

Full work available at URL: https://ageconsearch.umn.edu/record/266961/files/monash-084.pdf

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Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (24)

Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
Testing for autocorrelation in the presence of lagged dependent variables
Linear models with correlated disturbances
The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
A point optimal test for autoregressive disturbances
A Bayesian test for first-order autocorrelations in regression analysis
Testing for Autocorrelation in Dynamic Random Effects Models
Higher order generalisation of first order autoregressive tests
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A new test for fourth-order autoregressive disturbances
An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
A Bayesian note on competing correlation structures in the dynamic linear regression model
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A diagnostic for autocorrelation of the disturbances in regression models
An improved selection test between autoregressive and moving average disturbances in regression models
A joint test for serial correlation and heteroscedasticity
Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
Testing linear and log-linear regressions with autocorrelated errors
Testing of functional forms of regressions with lagged dependent variable and autocorrelated errors
A robust test for autocorrelation in the presence of a structural break in variance
On a new test for autocorrelation in regression models under nonnormality
A simple test for the consistency of dynamic linear regression in rational distributed lag models

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