Testing autocorrelation in a system perspective testing autocorrelation

DOI10.1080/07474939908800351MaRDI QIDQ4935451zbMATHOpenAlexFDO

Authors David L. Edgerton, Ghazi Shukur

Publication date 1999

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939908800351

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3223275 (Why is no real title available?)
• Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances
• Exact distributions of Wilks's likelihood ratio criterion
• Misspecification tests and their uses in econometrics
• On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
• On the behavior of inconsistent instrumental variable estimators
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• 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

Cited in

(9)

• The robustness of the systemwise breusch-godfrey autocorrelation test for non-normal distributed error terms
• Residual autocorrelation testing for vector error correction models
• Testing for panel unit roots under general cross-sectional dependence
• Rényi statistics for testing equality of autocorrelation coefficients
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Testing for multivariate heteroscedasticity
• The effect of fat-tailed error terms on the properties of systemwise RESET test
• Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?

This page was built for publication: Testing autocorrelation in a system perspective testing autocorrelation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4935451)