Nonnested testing for autocorrelation in the linear regression model
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
- 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.
- Mckensi, C.R. & Mcaleer, M. & Gill, L., 1990. "Simple Procedures For Testing Autoregressive Versus Moving Average Errors In Regression Models," Papers 210, Australian National University - Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:58:y:1993:i:3:p:295-314. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jeconom .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.