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Autocorrelation pre-testing in the linear model: Estimation, testing and prediction


  • King, M.L.
  • Giles, D.E.A.


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Suggested Citation

  • King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
  • Handle: RePEc:eee:econom:v:25:y:1984:i:1-2:p:35-48

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    References listed on IDEAS

    1. L. G. Godfrey & M. R. Wickens, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Oxford University Press, vol. 48(3), pages 487-496.
    2. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275.
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    Cited by:

    1. Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
    2. repec:ebl:ecbull:v:3:y:2005:i:44:p:1-8 is not listed on IDEAS
    3. Banerjee, A.N. & Magnus, J.R., 1996. "Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown," Discussion Paper 1996-54, Tilburg University, Center for Economic Research.
    4. 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.
    5. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
    6. Banerjee, A.N., 1997. "The sensitivity of estimates, inferences and forecasts of linear models," Other publications TiSEM 3238733e-f996-4fd9-95ec-0, Tilburg University, School of Economics and Management.
    7. Jae Kim & Mahbuba Yeasmin, 2005. "The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors," Computational Economics, Springer;Society for Computational Economics, vol. 25(3), pages 255-267, June.
    8. Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.
    9. Paolella, Marc S. & Polak, PaweĊ‚, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    10. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.
    11. repec:bla:jorssc:v:66:y:2017:i:2:p:425-448 is not listed on IDEAS
    12. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.

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