Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

Cited In (63)

The impact of corporate sustainability performance on advertising efficiency
Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
Folded bivariate distributions as models for magnitude correlation
Testing for measurement error in regression with autoregressive innovations
LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
Perverse timing or biased coefficients?
Overview
A new Portmanteau test for predictive regression models with possible embedded endogeneity
On the test of the volatility proxy model
Data cloning estimation of GARCH and COGARCH models
Further results on the \(h\)-test of Durbin for stable autoregressive processes
Model specification tests. A simultaneous approach
Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
Optimal weighted average power similar tests for the covariance structure in the linear regression model
Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
Estimation and inference of the vector autoregressive process under heteroscedasticity
The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL
Specification testing with estimated variables
Genetically evolved models and normality of their fitted residuals
Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
Improving the reliability of bootstrap tests with the fast double bootstrap
Inventory Effects on Daily Returns in Financial Markets
The determinants of CDS spreads: evidence from the model space
Misspecification tests and their uses in econometrics
A study to zero-out auctions: Testbed experiments of a process of allocating private rights to the use of public property
Sir Clive W. J. Granger model selection
ARMA MODELS WITH ARCH ERRORS
Testing for residual correlation of any order in the autoregressive process
Correlation testing in time series, spatial and cross-sectional data
A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling
A stochastic restricted ridge regression estimator
Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
The relative power of zero-padding when testing for serial correlation using artificial regressions
ARMAX model specification testing, with an application to unemployment in the Netherlands
MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
Testing AR(1) against MA(1) disturbances in an error component model
Tests of heteroscedasticity and correlation in multivariate \(t\) regression models with AR and ARMA errors
Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
Reprint of: Generalized autoregressive conditional heteroskedasticity
On the formulation of empirical models in dynamic econometrics
A new bivariate beta distribution
A simple message for autocorrelation correctors: Don't
The significance of testing empirical non-nested models
Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation
Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
Rényi statistics for testing equality of autocorrelation coefficients
Leverages and influential observations in a regression model with autocorrelated errors
The fast iterated bootstrap
Asymptotic theory of outlier detection algorithms for linear time series regression models
Checks of model adequacy for univariate time series models and their application to econometric relationships
Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
The Lagrange multiplier test for autocorrelation in the presence of linear restrictions
Multi-scale tests for serial correlation
Testing strategies for model specification
A general approach to Lagrange multiplier model diagnostics
A Lagrange multiplier test for GARCH models
Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
Oracally efficient estimation and testing for an ARCH model with trend
Generalized autoregressive conditional heteroscedasticity
Tests for \(m\)-dependence based on sample splitting methods

This page was built for publication: Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4178359)