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Joint Tests for Regularity and Autocorrelation in Allocation Systems

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  • Deschamps, P.

    (Tilburg University, Center for Economic Research)

Abstract

In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies autocorrelation of an arbitrary given order. We also derive generic expressions for the maximum likelihood estimation of the models under six possible combinations of constraints. The methodology is illustrated with the Rotterdam model and the differential AIDS model, both estimated from the same quarterly British data. Copyright 1993 by John Wiley & Sons, Ltd.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1990-42.

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Date of creation: 1990
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Handle: RePEc:dgr:kubcen:199042

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Web page: http://center.uvt.nl

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Cited by:
  1. Deschamps, Philippe J., 2000. "Exact small-sample inference in stationary, fully regular, dynamic demand models," Journal of Econometrics, Elsevier, vol. 97(1), pages 51-91, July.
  2. Deschamps, Philippe J., 1998. "Full maximum likelihood estimation of dynamic demand models," Journal of Econometrics, Elsevier, vol. 82(2), pages 335-359, February.
  3. Marian Vavra, 2013. "Testing for linear and Markov switching DSGE models," Working and Discussion Papers WP 3/2013, Research Department, National Bank of Slovakia.
  4. SCHROYEN, Fred, 2011. "Attitudes towards income risk in the presence of quantity constraints," CORE Discussion Papers 2011020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Marian Vavra, 2013. "Testing for non-linearity in multivariate stochastic processes," Working and Discussion Papers WP 2/2013, Research Department, National Bank of Slovakia.

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