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Testing Serial Correlation in Semiparametric Time Series Model

Author

Listed:
  • Li, D.
  • Stengos, T.

Abstract

In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

Suggested Citation

  • Li, D. & Stengos, T., 1999. "Testing Serial Correlation in Semiparametric Time Series Model," Working Papers 1999-4, University of Guelph, Department of Economics and Finance.
  • Handle: RePEc:gue:guelph:1999-4
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    References listed on IDEAS

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    1. de Bovenberg, A Lans & Mooij, Ruud A, 1994. "Environmental Levies and Distortionary Taxation," American Economic Review, American Economic Association, vol. 84(4), pages 1085-1089, September.
    2. Tideman, T Nicolaus & Tullock, Gordon, 1976. "A New and Superior Process for Making Social Choices," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1145-1159, December.
    3. Bailey, Martin J, 1997. "The Demand Revealing Process: To Distribute the Surplus," Public Choice, Springer, vol. 91(2), pages 107-126, April.
    4. Mishan, E J, 1974. "What Is the Optimal Level of Pollution?," Journal of Political Economy, University of Chicago Press, vol. 82(6), pages 1287-1299, Nov.-Dec..
    5. Collinge, Robert A. & Bailey, Martin J., 1983. "Optimal quasi-market choice in the presence of pollution externalities," Journal of Environmental Economics and Management, Elsevier, vol. 10(3), pages 221-232, September.
    6. Kohn, Robert E, 1997. "Avoidance Costs and the Entry-Exit Condition on Polluting Firms," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(2), pages 216-224, May.
    7. Shibata, Hirofumi & Winrich, J Steven, 1983. "Control of Pollution when the Offended Defend Themselves," Economica, London School of Economics and Political Science, vol. 50(200), pages 425-437, November.
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    Citations

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    Cited by:

    1. Daniel L. Millimet & John A. List & Thanasis Stengos, 2003. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1038-1047, November.
    2. He, Jie & Richard, Patrick, 2010. "Environmental Kuznets curve for CO2 in Canada," Ecological Economics, Elsevier, vol. 69(5), pages 1083-1093, March.
    3. repec:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0705-z is not listed on IDEAS
    4. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, June.
    5. Polemis, Michael L. & Stengos, Thanasis, 2015. "Does market structure affect labour productivity and wages? Evidence from a smooth coefficient semiparametric panel model," Economics Letters, Elsevier, vol. 137(C), pages 182-186.
    6. Hu, Xuemei & Wang, Zhizhong & Liu, Feng, 2008. "Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1560-1569, September.
    7. Poudel, Biswo N. & Paudel, Krishna P. & Bhattarai, Keshav, 2009. "Searching for an Environmental Kuznets Curve in Carbon Dioxide Pollutant in Latin American Countries," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 41(01), April.
    8. Neophyta Empora & Theofanis Mamuneas, 2011. "The Effect of Emissions on U.S. State Total Factor Productivity Growth," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 149-172, October.
    9. Neophyta Empora, 2017. "Air pollution spillovers and U.S. state productivity growth," University of Cyprus Working Papers in Economics 06-2017, University of Cyprus Department of Economics.

    More about this item

    Keywords

    TESTS ; ECONOMIC MODELS ; TIME SERIES;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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