Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
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Publication:1019963
DOI10.1016/j.csda.2006.05.020zbMath1161.62366OpenAlexW2166847752MaRDI QIDQ1019963
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.whiterose.ac.uk/2528/1/LGGodfrey_CSDA_final.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)
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