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Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
Abstract
The construction of tests of model specification is considered from a general point of view. The results are applied to testing the serial independence of the disturbances in a regression model where some of the regressors are lagged dependent variables. It is shown that the asymptotic distribution of the lag-1 serial correlation coefficient calculated from the least-squares residuals differs from that of the coefficient calculated from the true disturbances. A consequence of this is that tests of serial independence based on the residuals from regression on fixed regressors are invalid when applied to models containing lagged dependent variables even when the null hypothesis of serial independence is true. Tests which are asymptotically valid for the large-sample case are suggested.
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Cited by
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Breusch, T. S., & Pagan, A. R. (1979) · Econometrica · doi:10.2307/1911963 · Cited by 5,647
Several Tests for Model Specification in the Presence of Alternative Hypotheses
Davidson, R., & MacKinnon, J. G. (1981) · Econometrica · doi:10.2307/1911522 · Cited by 1,747
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
McLeod, A. I., & Li, W. K. (1983) · Journal of Time Series Analysis · doi:10.1111/j.1467-9892.1983.tb00373.x · Cited by 1,123
Clustering of teenage suicides after television news stories about suicide
Phillips, D. P., & Carstensen, L. L. (1986) · New England Journal of Medicine · doi:10.1056/nejm198609113151106 · Cited by 387
Metadata
- Authors
- Durbin, J.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1970-05
- Volume
- 38
- Issue
- 3
- Pages
- 410
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2036601475
- Cited by
- 1,182
- References
- 0
- FWCI
- 149.00
- Type
- journal article
- Language
- en
- Open access
- closed
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- Durbin, J. (1970). Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables. Econometrica. https://doi.org/10.2307/1909547
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