Revisiting Error-Autocorrelation Correction: Common Factor Restrictions and Granger Non-Causality
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1468-0084.2008.00538.x/fullpdf
Reference24 articles.
1. ‘Testing for autocorrelation in dynamic linear models’;Breusch;Australian Economic Papers,1978
2. ‘Testing for serial correlation in least squares regression I’;Durbin;Biometrika,1950
3. ‘Testing against general autoregressive and moving average error models when the regressors include lagged endogenous variables’;Godfrey;Econometrica,1978
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