Testing for Serial Correlation in Regression Models with Lagged Dependent Variables
AbstractBootstrap methods are investigated for approximating critical points to several widely used tests of serial correlation in regression models with lagged dependent variables. Simulation results suggest that the bootstrap accurately estimates the null distributions of the tests, in contrast to conventional approximations. Results of some studies on the size-adjusted power of the tests are also reported. Copyright 1993 by MIT Press.
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Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 75 (1993)
Issue (Month): 4 (November)
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- Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
- 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.
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