Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors

Gangadharrao S. Maddala · Arni S. R. Srinivasa Rao

98 citations0/0 files storedEconometrica

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Advanced Statistical Methods and Models

Abstract

The paper compares the power of two tests for serial correlation in regression models with lagged dependent variables, recently suggested by Durbin, with that of the likelihood ratio test by means of two sets of Monte-Carlo experiments-one in which the exogenous series is taken to be the quarterly GNP series for the USA and the other in which the exogenous series is generated by a known autoregression.

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References

1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables 1961A Note on Serial Correlation Bias in Estimates of Distributed Lags

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