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A General Approach to Serial Correlation

  • Gourieroux, C.
  • Monfort, A.
  • Trognon, A.

In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier models, etc. In this context, it is shown that the score test can be written explicitly and that the statistic obtained is a generalization of that of Durbin and Watson; moreover, the maximum likelihood estimation procedure is shown to be robust with respect to serial correlation.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 1 (1985)
Issue (Month): 03 (December)
Pages: 315-340

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Handle: RePEc:cup:etheor:v:1:y:1985:i:03:p:315-340_01
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