Testing AR(1) against MA(1) disturbances in an error component model
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Volume (Year): 68 (1995)
Issue (Month): 1 (July)
Pages: 133-151
| Handle: | RePEc:eee:econom:v:68:y:1995:i:1:p:133-151 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS
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- Breusch, T S & Pagan, A R, 1980.
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- Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Burke, S P & Godfrey, L G & Tremayne, A R, 1990. "Testing AR(1) against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 135-45, January.
- Nerlove, Marc, 1971.
"Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections,"
Econometrica,
Econometric Society, vol. 39(2), pages 359-82, March.
- Marc Nerlove, 1968. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections," Cowles Foundation Discussion Papers 257, Cowles Foundation for Research in Economics, Yale University.
- Bhargava, A & Franzini, L & Narendranathan, W, 1982. "Serial Correlation and the Fixed Effects Model," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 533-49, October.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
- 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.
- Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August.
- Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
- Griffiths, W.E. & Beesley, P.A.A., 1984. "The small-sample properties of some preliminary test estimators in a linear model with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 49-61.
- Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches†& M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier.
- Baltagi, Badi H. & Li, Qi, 1991. "A joint test for serial correlation and random individual effects," Statistics & Probability Letters, Elsevier, vol. 11(3), pages 277-280, March.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Nicholls, D F & Pagan, Adrian R & Terrell, R D, 1975. "The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 113-34, February.
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