Some Tests of Dynamic Specification for a Single Equation

DOI10.2307/1912938MaRDI QIDQ3928893zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 1980

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912938

zbMATH Keywords

constraintsautoregressive errorsnested hypotheses testingWald chi-square test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Economic growth models (91B62)

Cited in

(17)

• CONDITIONING IN DYNAMIC MODELS
• Computing Wald criteria for nested hypotheses
• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• Vision and influence in econometrics: John Denis Sargan
• THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
• Structural attribution of observed volatility clustering
• Cointegration tests in the presence of structural breaks
• Invariance and the Wald test
• GEL criteria for moment condition models
• Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US
• On the formulation of empirical models in dynamic econometrics
• On Wald tests for globally and locally quadratic restrictions
• A simple message for autocorrelation correctors: Don't
• The significance of testing empirical non-nested models
• J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
• Testing strategies for model specification
• Empirical modeling in dynamic econometrics

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