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.
Keywords
StatisticsEconometricsRegression analysisAutocorrelationMathematicsCorrelationRegression
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Publication Info
- Year
- 1973
- Type
- article
- Volume
- 41
- Issue
- 4
- Pages
- 761-761
- Citations
- 98
- Access
- Closed
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Cite This
G. S. Maddala,
Arni S. R. Srinivasa Rao
(1973).
Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors.
Econometrica
, 41
(4)
, 761-761.
https://doi.org/10.2307/1914095
Identifiers
- DOI
- 10.2307/1914095