TESTING FOR HIGHER-ORDER SERIAL-CORRELATION IN REGRESSION EQUATIONS WHEN REGRESSORS INCLUDE LAGGED DEPENDENT VARIABLES

被引:334
作者
GODFREY, LG
机构
关键词
D O I
10.2307/1913830
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:1303 / 1310
页数:8
相关论文
共 14 条
[1]  
Box G. E. P., 1970, TIME SERIES ANAL FOR, V65, P1509
[3]   SPECIFICATION OF DISTURBANCE FOR EFFICIENT ESTIMATION [J].
ENGLE, RF .
ECONOMETRICA, 1974, 42 (01) :135-146
[4]  
FITTS J, 1973, J ECONOMETRICS, V1, P363
[5]   TESTING FOR SERIAL-CORRELATION IN DYNAMIC SIMULTANEOUS EQUATION MODELS [J].
GODFREY, LG .
ECONOMETRICA, 1976, 44 (05) :1077-1084
[7]  
Hannan J., 2013, TECH NOTE, V43153
[8]   MAXIMUM LIKELIHOOD ESTIMATION OF DIFFERENCE EQUATIONS WITH MOVING AVERAGE ERRORS - SIMULATION STUDY [J].
HENDRY, DF ;
TRIVEDI, PK .
REVIEW OF ECONOMIC STUDIES, 1972, 39 (118) :117-145
[9]  
HENDRY DF, 1976, A8 LOND SCH EC DISC
[10]  
PHILLIPS AW, 1966, SAN FRANCISCO M EC S