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A General Approach to Serial Correlation

Author

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

Abstract

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.

Suggested Citation

  • Gourieroux, C. & Monfort, A. & Trognon, A., 1985. "A General Approach to Serial Correlation," Econometric Theory, Cambridge University Press, vol. 1(03), pages 315-340, December.
  • Handle: RePEc:cup:etheor:v:1:y:1985:i:03:p:315-340_01
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    1. Oczkowski, Edward, 1998. "An econometric analysis of the bilateral monopoly model," Economic Modelling, Elsevier, vol. 16(1), pages 53-69, January.
    2. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    3. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    4. Hsiao, Cheng & Pesaran, M. Hashem & Pick, Andreas, 2007. "Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models," IZA Discussion Papers 2756, Institute for the Study of Labor (IZA).
    5. Carlo Rosa, 2009. "Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 38(1-2), pages 39-66, February.
    6. Choi, Woon Gyu, 1999. "Estimating the Discount Rate Policy Reaction Function of the Monetary Authority," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
    7. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-482, October.
    8. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2016.
    10. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
    11. Kai Carstensen, 2006. "Estimating the ECB Policy Reaction Function," German Economic Review, Verein für Socialpolitik, vol. 7, pages 1-34, February.
    12. repec:eee:enepol:v:118:y:2018:i:c:p:298-311 is not listed on IDEAS
    13. Driffield, Nigel & Jones, Chris & Crotty, Jo, 2013. "International business research and risky investments, an analysis of FDI in conflict zones," International Business Review, Elsevier, vol. 22(1), pages 140-155.
    14. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, EconWPA.
    15. Gustavo Nicolás Páez, 2015. "Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?," DOCUMENTOS CEDE 012567, UNIVERSIDAD DE LOS ANDES-CEDE.
    16. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
    17. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    18. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
    19. Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
    20. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA.
    21. Monfort, Alain, 1992. "Quelques développements récents des méthodes macroéconométriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 305-324, mars et j.
    22. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
    23. Brown, David P. & Eckert, Andrew, 2018. "The effect of default rates on retail competition and pricing decisions of competitive retailers: The case of Alberta," Energy Policy, Elsevier, vol. 118(C), pages 298-311.
    24. Nuno Cassola & Carlos Santos, 1998. "Emu, Exchange Rate Volatility and Bid-Ask Spreads," Working Papers w199805, Banco de Portugal, Economics and Research Department.

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