A SIMPLE TEST FOR THE CONSISTENCY OF DYNAMIC LINEAR-REGRESSION IN RATIONAL DISTRIBUTED LAG MODELS

Authors
MCCLAIN KT WOOLDRIDGE JM
Citation
Kt. Mcclain et Jm. Wooldridge, A SIMPLE TEST FOR THE CONSISTENCY OF DYNAMIC LINEAR-REGRESSION IN RATIONAL DISTRIBUTED LAG MODELS, Economics letters, 48(3-4), 1995, pp. 235-240
Citations number
5
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
48
Issue
3-4
Year of publication
1995
Pages
235 - 240
Database
ISI
SICI code
0165-1765(1995)48:3-4<235:ASTFTC>2.0.ZU;2-G
Abstract
We develop a new Lagrange multiplier test of the restrictions imposed when rational distributed lag models are estimated by dynamic linear r egression. A small simulation study and empirical example demonstrate that the new test detects misspecification when standard diagnostics d o not.