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A new test for residual randomness in a class of dynamic autocorrelated econometric models

 

作者: L. R. Kerward,  

 

期刊: Canadian Journal of Statistics  （WILEY Available online 1976）
卷期: Volume 4, issue 1  

页码: 51-64

 

ISSN:0319-5724

 

年代: 1976

 

DOI:10.2307/3315263

 

出版商: Wiley‐Blackwell

 

关键词: Dynamic models;stochastic mis‐specification;test statistic;residual autocorrelation;asymptotic distribution.

 

数据来源: WILEY

 

摘要:

AbstractThis paper presents a new test statistic for dynamic or stochastic mis‐specification for the dynamic demand or dynamic adjustment class of economic models. The test statistic is based on residual autocorrelations, asymptotically X2and is suspected to be of low power. The test is illustrated with an example from recent econometric literatur

 

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