Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors

DOI10.2307/1914095zbMATHOpenAlexMaRDI QIDQ4098518FDO

Authors

Publication date 1973

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1914095

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited in

(16)

• Resampling methods for tests in regression models with autocorrelated errors
• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• Testing for residual correlation of any order in the autoregressive process
• Further results on the \(h\)-test of Durbin for stable autoregressive processes
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• The small sample bias of Durbin's tests for serial correlation when one of the regressors is the lagged dependent variable and the null hypothesis is true
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• Exogenous variables and asymptotic bias in dynamic models with autocorrelated errors: a note
• Testing for autocorrelation in the presence of lagged dependent variables
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• The small-sample power of Durbin's \(h\) test revisited
• Estimation in dynamic regression with an integrated process
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
• A classified bibliography of Monte Carlo studies in econometrics

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