Differencing as a Test of Specification
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Publication:3667822
DOI10.2307/2526372zbMath0518.62091MaRDI QIDQ3667822
Halbert White, Charles I. Plosser, G. William Schwert
Publication date: 1982
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526372
specification test; least squares estimators; asymptotic local power; differenced models; linear time series regression models; undifferenced models
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
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