A Differencing Specification Test for Models with Serially Correlated Errors

We develop a version of the differencing specification test which may be used to test models with serially correlated errors. The test is worked out for the general case, and in more detail for the commonly-encountered case of models with AR(1) errors. As an example, the test is applied to a well-known model of exchange rate determination.

MoreLess

Year of publication:	1985
Authors:	Boothe, Paul ; MacKinnon, James G.
Institutions:	Economics Department, Queen's University
Subject:	specification test \| serial correlation \| differencing test

More details

Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Review of Economics and Statistics, 68, 1986 10 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688196