The Inappropriate Use of Serial Correlation Tests in Dynamic Linear Models
AbstractA survey of several economic journals reveals that very often the Durbin-Watson and the portmanteau (Box-Pierce or Ljung-Box) tests are inappropriately applied to linear models with lagged dependent variables and exogenous regressors. Sampling experiments indicate that the Durbin-Watson performs poorly in models with more than one lag of the dependent variable, a situation commonly considered in the literature. The experiments also indicate that the portmanteau test is inadequate when applied to dynamic linear models with exogenous regressors. In addition, the performance of Durbin's h and m tests in models commonly used in the literature but not considered by previous studies is evaluated. The results reveal that among the four tests examined, the one which is the least frequently used in practice (the m test) has the best performance. Copyright 1990 by MIT Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 72 (1990)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://mitpress.mit.edu/journals/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ringlund, Guro Bornes & Rosendahl, Knut Einar & Skjerpen, Terje, 2008.
"Does oilrig activity react to oil price changes An empirical investigation,"
Elsevier, vol. 30(2), pages 371-396, March.
- Guro Børnes Ringlund & Knut Einar Rosendahl & Terje Skjerpen, 2004. "Does oilrig activity react to oil price changes? An empirical investigation," Discussion Papers 372, Research Department of Statistics Norway.
- Robert S. Chirinko & Christopher Curran, 2013. "Greenspan Shrugs: Central Bank Communication, Formal Pronouncements and Bond Market Volatility," CESifo Working Paper Series 4236, CESifo Group Munich.
- Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
- Godfrey, Leslie G., 1998. "Hausman tests for autocorrelation in the presence of lagged dependent variables Some further results," Journal of Econometrics, Elsevier, vol. 82(2), pages 197-207, February.
- Andrea Vaona & Guido Ascari, 2010.
"Regional Inflation Persistence: Evidence from Italy,"
04/2010, University of Verona, Department of Economics.
- Andrea Vaona & Guido Ascari, 2012. "Regional Inflation Persistence: Evidence from Italy," Regional Studies, Taylor & Francis Journals, vol. 46(4), pages 509-523, June.
- Andrea Vaona & Guido Ascari, 2008. "Regional Inflation Persistence: Evidence from Italy," Quaderni della facoltÃ di Scienze economiche dell'UniversitÃ di Lugano 0807, USI Università della Svizzera italiana.
- 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.
- Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013.
"Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability,"
CIRANO Working Papers
- Jean-Marie DUFOUR & Lynda KHALAF & Marcel VOIA, 2013. "Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability," Cahiers de recherche 13-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
- Beck, Martin & Winker, Peter, 2004. "Modeling spillovers and feedback of international trade in a disequilibrium framework," Economic Modelling, Elsevier, vol. 21(3), pages 445-470, May.
- Darrat, Ali F. & Al-Mutawa, Ahmed, 1996. "Modelling money demand in the United Arab Emirates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 65-87.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karie Kirkpatrick).
If references are entirely missing, you can add them using this form.