Differencing as a Test of Specification

DOI10.2307/2526372zbMath0518.62091OpenAlexW1987413859MaRDI QIDQ3667822

G. William Schwert, Charles I. Plosser, 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

specification testleast squares estimatorsasymptotic local powerdifferenced modelslinear time series regression modelsundifferenced models

Mathematics Subject Classification ID

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

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