Testing for Fourth Order Autocorrelation in Quarterly Regression Equations

DOI10.2307/1912957MaRDI QIDQ5674254zbMATH OpenOpenAlexFDO

Authors Kenneth F. Wallis

Publication date 1972

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912957

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(16)

• AUTOREG: A computer program library for dynamic econometric models with autoregressive errors
• On fitting distributed lag models subject to polynomial restrictions
• Computing \(p\)-values for the generalized Durbin-Watson and other invariant test statistics
• Retail inventory investment behaviour
• Fourth-order autocorrelation: Further significance points for the Wallis test
• Generalized variance-ratio tests for serial correlation in multivariate regression models
• Nonnested testing for autocorrelation in the linear regression model
• Small-sample power of tests for inequality restrictions
• Eigenstructures of spatial design matrices
• The sensitivity of OLS when the variance matrix is (partially) unknown
• A new test for fourth-order autoregressive disturbances
• Most mean powerful invariant test for testing two-dimensional parameter spaces
• Higher order generalisation of first order autoregressive tests
• Locally optimal one-sided tests for multiparameter hypotheses
• On consistent testing for serial correlation in seasonal time series models
• Checks of model adequacy for univariate time series models and their application to econometric relationships

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