Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

DOI10.2307/2951684zbMath0743.62080OpenAlexW2138046117MaRDI QIDQ4006263

John Huizinga, Robert E. Cumby

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0092.pdf

zbMATH Keywords

ordinary least squaresmoving averagetwo-stage least squaresgeneral linear regression modelgeneralized method of moments estimatorsconditionally heteroscedastic innovationstwo-step two-stage least squaresvector of sample autocorrelations of regression residuals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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