The power of alternative tests for serial correlation in dynamic models estimated by instrumental variables

DOI10.1080/00949658108810436zbMath0454.62095OpenAlexW1982756772MaRDI QIDQ3902378

A. D. Owen

Publication date: 1981

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658108810436

zbMATH Keywords

serial correlationinstrumental variablestwo-stage least squarespower comparisonsDurbin-WatsonDurbin h testsdynamic simultaneous equation models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

• Testing for Serial Correlation in Dynamic Simultaneous Equation Models
• A Note on the Use of Durbin's h Tests when the Equation is Estimated by Instrumental Variables

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