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Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic

In: Evaluation of Econometric Models

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  • Robert F. Engle

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  • Robert F. Engle, 1980. "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters, in: Evaluation of Econometric Models, pages 309-321, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:11707
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    References listed on IDEAS

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    1. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-1277, July.
    2. Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June.
    3. Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, vol. 44(1), pages 149-165, January.
    4. Espasa, Antoni & Sargan, J Denis, 1977. "The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(3), pages 583-605, October.
    5. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    6. R. F. Engle, 1974. "Testing Price Equations for Stability Across Frequencies," Working papers 144, Massachusetts Institute of Technology (MIT), Department of Economics.
    7. Savin, N Eugene, 1976. "Conflict among Testing Procedures in a Linear Regression Model with Autoregressive Disturbances," Econometrica, Econometric Society, vol. 44(6), pages 1303-1315, November.
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    Cited by:

    1. Cleiton Guollo Taufemback, 2023. "Asymptotic Behavior of Temporal Aggregation in Mixed‐Frequency Datasets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 894-909, August.

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