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Citations for "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables"

by Durbin, J

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  1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  2. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  3. Mann, Steven V. & Moore, William T. & Ramanlal, Pradipkumar, 1999. "Timing of Convertible Debt Issues," Journal of Business Research, Elsevier, vol. 45(1), pages 101-105, May.
  4. Miguel A. Delgado & Carlos Velasco, 2007. "A new class of distribution-free tests for time series models specification," Economics Working Papers we078047, Universidad Carlos III, Departamento de Economía.
  5. Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
  6. Robert G. Valletta, 1998. "Changes in the structure and duration of U.S. unemployment, 1967-1998," Economic Review, Federal Reserve Bank of San Francisco, pages 29-40.
  7. Sloan, Frank A. & Trogdon, Justin G. & Mathews, Carrie A., 2005. "Litigation and the value of tobacco companies," Journal of Health Economics, Elsevier, vol. 24(3), pages 427-447, May.
  8. Ali T. Akarca, 2010. "Analysis of the 2009 Turkish Election Results from an Economic Voting Perspective," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-38.
  9. Mohammad Pervez Wasim, 2005. "Milk Production Response in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(1), pages 105-121, Jan-Jun.
  10. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
  11. Miguel A. Delgado & Carlos Velasco, 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," Economics Working Papers we101707, Universidad Carlos III, Departamento de Economía.
  12. Proïa, Frédéric, 2013. "Further results on the h-test of Durbin for stable autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 77-101.
  13. Sotiris Tsolacos, 1995. "An Econometric Model of Retail Rents in the United Kingdom," Journal of Real Estate Research, American Real Estate Society, vol. 10(5), pages 519-530.
  14. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics.
  15. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
  16. Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
  17. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  18. Delgado, Miguel A. & Velasco, Carlos, 2010. "Distribution-free tests for time series models specification," Journal of Econometrics, Elsevier, vol. 155(2), pages 128-137, April.
  19. Kearney, Colm & Poti, Valerio, 2006. "Correlation dynamics in European equity markets," Research in International Business and Finance, Elsevier, vol. 20(3), pages 305-321, September.
  20. Zhongjun Qu & Yi-Ting Chen, 2010. "M Tests with a New Normalization Matrix," Boston University - Department of Economics - Working Papers Series WP2010-050, Boston University - Department of Economics.
  21. Ali T. Akarca, 2011. "Inter-election vote swings for the Turkish ruling party: The impact of economic performance and other factors," Equilibrium, Uniwersytet Mikolaja Kopernika, vol. 6, pages 7-25.
  22. J. S. Mehta & G. V. L. Narasimham & P. A. V. B. Swamy, 1975. "Estimation of a dynamic demand function for gasoline with different schemes of parameter variation," International Finance Discussion Papers 70, Board of Governors of the Federal Reserve System (U.S.).
  23. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  24. Kaboudan, M. A., 2001. "Genetically evolved models and normality of their fitted residuals," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1719-1749, November.
  25. V. Vance Roley, 1983. "The Response of Short-Term Interest Rates to Weekly Money Announcements," NBER Working Papers 1001, National Bureau of Economic Research, Inc.
  26. Elena Argentesi & Lapo Filistrucchi, 2005. "Estimating market power in a two-sided market: the case of newspapers," Economics Working Papers ECO2005/07, European University Institute.
  27. Joanna Stavins & Paul W. Bauer, 1997. "The effect of pricing on demand and revenue in Federal Reserve ACH payment processing," Working Papers 97-6, Federal Reserve Bank of Boston.
  28. repec:wyi:journl:002087 is not listed on IDEAS
  29. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics.
  30. Benjamin M. Friedman & V. Vance Roley, 1977. "Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints," NBER Working Papers 0179, National Bureau of Economic Research, Inc.
  31. Delpachitra, Sarath B., 2002. "Price rigidity in the downstream petroleum industry in New Zealand: where does it happen?," Energy Economics, Elsevier, vol. 24(6), pages 597-613, November.
  32. Ali, Sharafat, 2013. "The Small and Medium Enterprises and Poverty in Pakistan: An Empirical Analysis," MPRA Paper 50506, University Library of Munich, Germany, revised Jul 2113.
  33. Mohammad Ashraf & Khan A. Mohabbat, 2010. "Output Convergence and the Role of Research and Development," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 35-71, May.
  34. Belsley, David A, 1997. "A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions," Computational Economics, Society for Computational Economics, vol. 10(3), pages 197-229, August.
  35. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
  36. Regens, James L. & Seldon, Barry J. & Elliott, Euel, 1997. "Modeling compliance to environmental regulation: Evidence from manufacturing industries," Journal of Policy Modeling, Elsevier, vol. 19(6), pages 683-696, December.
  37. Li, Haizheng & Luo, Jifeng, 2008. "Industry consolidation and price in the US linerboard industry," Journal of Forest Economics, Elsevier, vol. 14(2), pages 93-115, April.
  38. Halunga, Andreea G. & Orme, Chris D., 2009. "First-Order Asymptotic Theory For Parametric Misspecification Tests Of Garch Models," Econometric Theory, Cambridge University Press, vol. 25(02), pages 364-410, April.
  39. Ali Akarca & Dimitri Andrianacos, 2006. "Taxes, Transfers, and Voter Behavior in U.S. Midterm Elections," International Advances in Economic Research, Springer, vol. 12(4), pages 468-474, November.
  40. G.S. Maddala & A.S. Rao, 1970. "On Durbin's Test for Serial Correlation in Distributed Lag Models," Cowles Foundation Discussion Papers 302, Cowles Foundation for Research in Economics, Yale University.
  41. Daniel Himarios, 1986. "Administered interest rates and the demand for money in Greece under rational expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 122(1), pages 173-188, March.
  42. Romeo Bautista, 1981. "Exchange rate changes and LDC export performance under generalized currency floating," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 117(3), pages 443-468, September.
  43. Hatemi-J, Abdulnasser, 2004. "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, vol. 21(4), pages 661-683, July.
  44. Khosrow Doroodian & Barry J. Seldon, 1991. "Advertising and Cigarette Consumption," Eastern Economic Journal, Eastern Economic Association, vol. 17(3), pages 359-366, Jul-Sep.
  45. Denis Bolduc & Bernard Fortin & France Labrecque & Paul Lanoie, 1997. "Incentive Effects of Public Insurance Programs on the Occurence and the Composition of Workplace Injuries," CIRANO Working Papers 97s-24, CIRANO.
  46. Froyen, Richard T & Waud, Roger N, 1984. "The Changing Relationship between Aggregate Price and Output: The British Experience," Economica, London School of Economics and Political Science, vol. 51(201), pages 53-67, February.
  47. Froyen, Richard T & Waud, Roger N, 1987. "An Examination of Aggregate Price Uncertainty in Four Countries and Some Implications for Real Output," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 353-72, June.
  48. Troeger, Vera, 2012. "Monetary Policy Flixibility in floating Exchange Rate Regimes: Currency Denomination and Import Shares," CAGE Online Working Paper Series 82, Competitive Advantage in the Global Economy (CAGE).
  49. repec:cge:warwcg:81 is not listed on IDEAS
  50. 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.
  51. König, Anja, 1997. "Schätzen und Testen in semiparametrischen partiell linearen Modellen für die Paneldatenanalyse," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-208, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  52. repec:wyi:wpaper:001955 is not listed on IDEAS
  53. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
  54. Brunhart, Andreas, 2012. "Identification of Liechtenstein's Historic Economic Growth and Business Cycles by Econometric Extensions of Data Series," MPRA Paper 44628, University Library of Munich, Germany.
  55. Luis Alberiko Gil-Alana, 2004. "A fractionally integrated model for the Spanish real GDP," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-6.
  56. Haluk Erlat, 1991. "An Ex Post Statistical Assessment of the Central Bank Quarterly Econometric Model of Turkey," Discussion Papers 9108, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  57. 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.
  58. Ali Akarca & Aysit Tansel, 2006. "Economic Performance and Political Outcomes: An Analysis of the Turkish Parliamentary and Local Election Results Between 1950 and 2004," Public Choice, Springer, vol. 129(1), pages 77-105, October.
  59. John James Thomas, 1986. "Algunos desarrollos recientes en la metodología de la econometría aplicada," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 19, pages 209-240.
  60. Hirschey, Mark & Richardson, Vernon J., 2004. "Are scientific indicators of patent quality useful to investors?," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 91-107, January.
  61. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1998. "Speculative activity and stock market volatility," Journal of Economics and Business, Elsevier, vol. 50(4), pages 323-337, July.
  62. Roger H. Dunstan & Ronald H. Schmidt, 1986. "Structural changes in residential energy demand," Research Paper 8604, Federal Reserve Bank of Dallas.
  63. Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
  64. Pagan, Adrian, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 517-38, August.
  65. Rodney L. Jacobs, 1977. "Dynamic Systems, Rules of Correspondence and Lagged Dependent Variables," UCLA Economics Working Papers 085, UCLA Department of Economics.
  66. Larson, Don, 1983. "Summary Statistics and Forecasting Performance," Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 3.
  67. Warziniack, Travis & Shogren, Jason F. & Parkhurst, Gregory, 2007. "Creating contiguous forest habitat: An experimental examination on incentives and communication," Journal of Forest Economics, Elsevier, vol. 13(2-3), pages 191-207, August.
  68. Mubarik Ali, 1990. "The Price Response of Major Crops in Pakistan: An Application of the Simultaneous Equation Model," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 29(3 and 4), pages 305-325.
  69. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
  70. Gil-Alana, Luis A., 2011. "Inflation in South Africa. A long memory approach," Economics Letters, Elsevier, vol. 111(3), pages 207-209, June.
  71. Aurelio Mattei, 1981. "Un modèle économétrique pour le Canton du Valais," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 117(IV), pages 605-616, December.
  72. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
  73. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  74. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  75. Duncan, Ronald C., 1972. "Technological Change In The Arid Zone Of New South Wales," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 16(01), April.
  76. Christoph Zenger, 1985. "Zinssätze und Inflation in der Schweiz: Ein alternativer Test des Fisher-Effektes," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(IV), pages 353-374, December.
  77. Richard Berner, 1976. "Total import and gross output demands in the context of a multisector general equilibrium model," International Finance Discussion Papers 88, Board of Governors of the Federal Reserve System (U.S.).
  78. Jeong, Jinook & Chung, Seoung, 2001. "Bootstrap tests for autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 49-69, November.
  79. Yi, Gang, 1990. "Inflation and price instability : An empirical study of the People's Republic of China," China Economic Review, Elsevier, vol. 1(2), pages 155-165.
  80. Juncal Cuñado & Alberiko Gil-Alana, Luis & Perez De Gracia, Fernando, 2011. "Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 723-736, Diciembre.
  81. repec:fth:prinin:154 is not listed on IDEAS
  82. Owen F. Humpage & Sanchita Mukherjee, 2013. "Even keel and the Great Inflation," Working Paper 1315, Federal Reserve Bank of Cleveland.