Discriminating between Autocorrelation and Misspecification in
AbstractA 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 InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 69 (1987)
Issue (Month): 1 (February)
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- Andrea Vaona, 2008. "Inflation persistence, structural breaks and omitted variables: a critical view," Quaderni della facoltÃ di Scienze economiche dell'UniversitÃ di Lugano 0802, USI Università della Svizzera italiana.
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