Encompassing in stationary linear dynamic models

DOI10.1016/0304-4076(93)01567-6zbMath0814.62074OpenAlexW2103780348MaRDI QIDQ1341212

David F. Hendry, Jean-Francois Richard, Bernadette Govaerts

Publication date: 18 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/485

zbMATH Keywords

Monte Carloweak exogeneityasymptotic power functionsstationary linear dynamic single equationsstrong exogeneityWald encompassing test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (2)

Unnamed Item ⋮ Asymptotic behavior of encompassing test for independent processes: Case of linear and nearest neighbor regressions

Cites Work

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