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

DOI10.2307/1913829MaRDI QIDQ4178359zbMATH OpenOpenAlexFDO

Authors L. G. Godfrey

Publication date 1978

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913829

zbMATH Keywords

TestingAsymptotic PropertiesAutoregressive ModelMoving AverageLagrange MultipliersError ModelLagGed Dependent Variables

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(66)

• Oracally efficient estimation and testing for an ARCH model with trend
• Generalized autoregressive conditional heteroscedasticity
• Further results on the h-test of Durbin for stable autoregressive processes
• Data cloning estimation of GARCH and COGARCH models
• Model specification tests. A simultaneous approach
• The impact of corporate sustainability performance on advertising efficiency
• Optimal weighted average power similar tests for the covariance structure in the linear regression model
• Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
• Adjusted-range-based self-normalized autocorrelation tests
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Estimation and inference of the vector autoregressive process under heteroscedasticity
• 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
• Directional predictability tests
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
• Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
• The determinants of CDS spreads: evidence from the model space
• Misspecification tests and their uses in econometrics
• Inventory Effects on Daily Returns in Financial Markets
• 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
• Correlation testing in time series, spatial and cross-sectional data
• Testing for residual correlation of any order in the autoregressive process
• A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
• Folded bivariate distributions as models for magnitude correlation
• A stochastic restricted ridge regression estimator
• Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling
• Testing for measurement error in regression with autoregressive innovations
• 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
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Testing AR(1) against MA(1) disturbances in an error component model
• Perverse timing or biased coefficients?
• Tests of heteroscedasticity and correlation in multivariate t regression models with AR and ARMA errors
• Overview
• Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
• On the formulation of empirical models in dynamic econometrics
• Reprint of: Generalized autoregressive conditional heteroskedasticity
• A new Portmanteau test for predictive regression models with possible embedded endogeneity
• 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
• Rényi statistics for testing equality of autocorrelation coefficients
• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
• Test for serial correlation in panel data models with interactive fixed effects
• The fast iterated bootstrap
• Leverages and influential observations in a regression model with autocorrelated errors
• On the test of the volatility proxy model
• Asymptotic theory of outlier detection algorithms for linear time series regression models
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• The Lagrange multiplier test for autocorrelation in the presence of linear restrictions
• Multi-scale tests for serial correlation
• Testing strategies for model specification
• A Lagrange multiplier test for GARCH models
• A general approach to Lagrange multiplier model diagnostics
• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
• 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)