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Nonnested testing for autocorrelation in the linear regression model

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  • Silvapulle, Paramsothy
  • King, Maxwell L.

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  • Silvapulle, Paramsothy & King, Maxwell L., 1993. "Nonnested testing for autocorrelation in the linear regression model," Journal of Econometrics, Elsevier, vol. 58(3), pages 295-314, August.
  • Handle: RePEc:eee:econom:v:58:y:1993:i:3:p:295-314
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    References listed on IDEAS

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    1. King, Maxwell L., 1983. "Testing for autoregressive against moving average errors in the linear regression model," Journal of Econometrics, Elsevier, vol. 21(1), pages 35-51, January.
    2. Maxwell L. King & Michael McAleer, 1987. "Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Oxford University Press, vol. 54(4), pages 649-663.
    3. Colin R. McKenzie & Michael McAleer & Len Gill, 1999. "Simple Procedures for Testing Autoregressive Versus Moving Average Errors in Regression Models," The Japanese Economic Review, Japanese Economic Association, vol. 50(3), pages 239-252, September.
    4. S. P. Burke & L. G. Godfrey & A. R. Tremayne, 1990. "Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 135-145.
    5. Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
    6. Lipsey, R G & Parkin, J M, 1970. "Incomes Policy: A Re-appraisal," Economica, London School of Economics and Political Science, vol. 37(146), pages 115-138, May.
    7. King, Maxwell L., 1989. "Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present," Journal of Econometrics, Elsevier, vol. 41(3), pages 285-301, July.
    8. Silvapulle, Paramsothy & King, Maxwell L, 1991. "Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 329-335, July.
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    Cited by:

    1. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    2. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.

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