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Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar

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  • Rothernberg, Thomas J

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  • Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-842, July.
  • Handle: RePEc:ecm:emetrp:v:52:y:1984:i:4:p:827-42
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    1. Wilson, Charles A, 1979. "Anticipated Shocks and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 87(3), pages 639-647, June.
    2. Bruno, Michael, 1978. "Exchange Rates, Import Costs, and Wage-Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 86(3), pages 379-403, June.
    3. William H. Branson & Julio J. Rotemberg, 1991. "International Adjustment with Wage Rigidity," NBER Chapters,in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 13-44 National Bureau of Economic Research, Inc.
    4. Bruno, Michael, 1980. "Import Prices and Stagflation in the Industrial Countries: A Cross-Section Analysis," Economic Journal, Royal Economic Society, vol. 90(359), pages 479-492, September.
    5. Calvo, Guillermo A, 1977. "The Stability of Models of Money and Perfect Foresight: A Comment," Econometrica, Econometric Society, vol. 45(7), pages 1737-1739, October.
    6. Jeffrey D. Sachs, 1979. "Wages, Profits, and Macroeconomic Adjustment: A Comparative Study," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 10(2), pages 269-332.
    7. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    8. Robert E. Hall, 1980. "Employment Fluctuations and Wage Rigidity," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 91-142.
    9. Gray, Malcolm R & Turnovsky, Stephen J, 1979. "The Stability of Exchange Rate Dynamics under Perfect Myopic Foresight," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(3), pages 643-660, October.
    10. Calvo, Guillermo A & Rodriguez, Carlos Alfredo, 1977. "A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 617-625, June.
    11. Kravis, Irving B. & Lipsey, Robert E., 1978. "Price behavior in the light of balance of payments theories," Journal of International Economics, Elsevier, vol. 8(2), pages 193-246, May.
    12. Jeffrey Sachs, 1980. "Wages, Flexible Exchange Rates, and Macroeconomic Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 94(4), pages 731-747.
    13. Erich Spitäller, 1980. "Short-Run Effects of Exchange Rate Changes on Terms of Trade and Trade Balance (Incidence à court terme des variations du taux de change sur les termes de l'échange et la balance commerciale) (Efecto," IMF Staff Papers, Palgrave Macmillan, vol. 27(2), pages 320-348, June.
    14. Sargent, Thomas J & Wallace, Neil, 1973. "The Stability of Models of Money and Growth with Perfect Foresight," Econometrica, Econometric Society, vol. 41(6), pages 1043-1048, November.
    15. Phelps, Edmund S & Taylor, John B, 1977. "Stabilizing Powers of Monetary Policy under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 163-190, February.
    16. Burgstaller, Andre, 1980. "Flexible exchange rates, unemployment and stabilization policy effectiveness," Journal of International Economics, Elsevier, vol. 10(3), pages 341-355, August.
    17. Fischer, Stanley, 1977. "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 191-205, February.
    18. Basevi, Giorgio & De Grauwe, Faul, 1977. "Vicious and virtuous circles: A theoretical analysis and a policy proposal for managing exchange rates," European Economic Review, Elsevier, vol. 10(3), pages 277-301.
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    Cited by:

    1. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics.
    2. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
    3. Hausman, Jerry & Kuersteiner, Guido, 2008. "Difference in difference meets generalized least squares: Higher order properties of hypotheses tests," Journal of Econometrics, Elsevier, vol. 144(2), pages 371-391, June.
    4. Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
    5. Kojima, Masahiro & Kubokawa, Tatsuya, 2013. "Bartlett-type adjustments for hypothesis testing in linear models with general error covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 162-174.
    6. Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
    7. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    8. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    9. Masahiro Kojima & Tatsuya Kubokawa, 2013. "Bartlett Adjustments for Hypothesis Testing in Linear Models with General Error Covariance Matrices," CIRJE F-Series CIRJE-F-884, CIRJE, Faculty of Economics, University of Tokyo.
    10. Rayner, Robert K., 1991. "Resampling methods for tests in regression models with autocorrelated errors," Economics Letters, Elsevier, vol. 36(3), pages 281-284, July.

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