Discriminating between Autocorrelation and Misspecification in.

A-Tier
Journal: Review of Economics and Statistics
Year: 1987
Volume: 69
Issue: 1
Pages: 128-34

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A strategy for di scriminating between autocorrelation and misspecification is proposed as an alte rnative to Jerry G. Thursby's(1981) procedure. An ordered sequence of hypothese s is formulated and tested using an autocorrelation robust check for misspecific ation and asymptotic tests of the form of the error autocorrelation model. A dis cussion of responses to the various outcomes of the tests is provided, along wit h comments on the implementation of the procedures. The strategy is only appropr iate for regression equations with exogenous regressors, but suggestions are mad e for analyzing models with lagged dependent variables. Copyright 1987 by MIT Press.

Technical Details

RePEc Handle
repec:tpr:restat:v:69:y:1987:i:1:p:128-34
Journal Field
General
Author Count
1
Added to Database
2026-01-25