Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models

Godfrey, L.G. (2007) Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models. Computation Statistics & Data Analysis. pp. 3282-3295.

Abstract

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Authors/Creators:
  • Godfrey, L.G. (leslie.godfrey@york.ac.uk)
Copyright, Publisher and Additional Information: © 2006 Elsevier B.V. This is an author produced version of a paper subsequently published in 'Computation Statistics & Data Analysis'.
Keywords: bootstrap,serial correlation,Lagrange multiplier test
Dates:
  • Published: 1 April 2007
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Repository Officer
Date Deposited: 22 Jun 2007
Last Modified: 18 Jul 2017 21:24
Published Version: http://dx.doi.org/10.1016/j.csda.2006.05.020
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.csda.2006.05.020

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