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Discriminating between Autocorrelation and Misspecification in

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  • Godfrey, Leslie G

Abstract

A strategy for di scriminating between autocorrelation and misspecification is proposed as an alte rnative to Jerry G. Thursby's(1981) procedure. An ordered sequence of hypothese s is formulated and tested using an autocorrelation robust check for misspecific ation and asymptotic tests of the form of the error autocorrelation model. A dis cussion of responses to the various outcomes of the tests is provided, along wit h comments on the implementation of the procedures. The strategy is only appropr iate for regression equations with exogenous regressors, but suggestions are mad e for analyzing models with lagged dependent variables. Copyright 1987 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 69 (1987)
Issue (Month): 1 (February)
Pages: 128-34

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Handle: RePEc:tpr:restat:v:69:y:1987:i:1:p:128-34

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Web page: http://mitpress.mit.edu/journals/

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Cited by:
  1. Andrea Vaona, 2008. "Inflation persistence, structural breaks and omitted variables: a critical view," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0802, USI Università della Svizzera italiana.

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