A Simplified Version of the Differencing Test
From MaRDI portal
Publication:3716190
DOI10.2307/2526709zbMath0588.62199MaRDI QIDQ3716190
James G. MacKinnon, Russell Davidson, Leslie G. Godfrey
Publication date: 1985
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526709
62P20: Applications of statistics to economics
62J05: Linear regression; mixed models
62H15: Hypothesis testing in multivariate analysis
Related Items
A differencing test, The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models, OLS or GLS in the presence of specification error? An expected loss approach, Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory