Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
作者： G. S. Maddala , A. S. Rao
DOI: 10.2307/1914095
关键词:
摘要: The paper compares the power of two tests for serial correlation in regression models with lagged dependent variables, recently suggested by Durbin, that likelihood ratio test means sets Monte-Carlo experiments-one which exogenous series is taken to be quarterly GNP USA and other generated a known autoregression.
jstor.org
sci-hub.se 参考文章(8)
Edmond Malinvaud, A. Silvey, Statistical methods of econometrics ,(1970)
J. Durbin, Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables Econometrica. ,vol. 38, pp. 410- 421 ,(1970) , 10.2307/1909547
Hodson Thornber, Finite Sample Monte Carlo Studies: An Autoregressive Illustration Journal of the American Statistical Association. ,vol. 62, pp. 801- 818 ,(1967) , 10.1080/01621459.1967.10500895
Zvi Griliches, A Note on Serial Correlation Bias in Estimates of Distributed Lags Econometrica. ,vol. 29, pp. 65- ,(1961) , 10.2307/1907688
Calyampudi Radhakrishna Rao, Linear statistical inference and its applications ,(1965)
J. B. Copas, Monte Carlo Results for Estimation in a Stable Markov Time Series Journal of the Royal Statistical Society: Series A (General). ,vol. 129, pp. 110- 116 ,(1966) , 10.2307/2343900
G. A. Barnard, G. M. Jenkins, C. B. Winsten, Likelihood Inference and Time Series Journal of the Royal Statistical Society: Series A (General). ,vol. 125, pp. 321- 352 ,(1962) , 10.2307/2982406
Kenneth F. Wallis, E. Malinvaud, A. Silvey, Statistical Methods of Econometrics. Journal of the Royal Statistical Society. Series A (General). ,vol. 130, pp. 437- 438 ,(1967) , 10.2307/2344282