A simple test for the consistency of dynamic linear regression in rational distributed lag models

DOI10.1016/0165-1765(94)00611-5zbMath0900.90147OpenAlexW2083057999MaRDI QIDQ672883

Katherine T. McClain, Jeffrey M. Wooldridge

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00611-5

zbMATH Keywords

simulationLagrange multiplier testdynamic linear regression

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• Efficient Estimation of Distributed Lags with Autocorrelated Errors

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