Hausman tests for autocorrelation in the presence of lagged dependent variables. Some further results

DOI10.1016/S0304-4076(97)00056-0zbMath0886.62118MaRDI QIDQ1377326

Leslie G. Godfrey

Publication date: 10 May 1998

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

zbMATH Keywords

autocorrelationlagged dependent variablesHausman tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models

Cites Work

• Testing for autocorrelation in the presence of lagged dependent variables
• Misspecification tests and their uses in econometrics
• A Remark on Hausman's Specification Test
• Local Asymptotic Specification Error Analysis
• Specification Tests in Econometrics
• Unnamed Item
• Unnamed Item

This page was built for publication: Hausman tests for autocorrelation in the presence of lagged dependent variables. Some further results