Testing of functional forms of regressions with lagged dependent variable and autocorrelated errors |
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Authors: | Frank CH Huynh |
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Institution: | La Trobe University, Bundoora, Vict. 3083, Australia |
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Abstract: | This paper presents the test statistics for the Maximum Likelihood Ratio, the Lagrange Multiplier and the Wald tests for regressions that involve a lagged dependent variable, autocorrelated errors and the Box–Cox transformation. A computational procedure is suggested. |
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