Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation

Authors
Baltagi, BH Li, D
Citation
Bh. Baltagi et D. Li, Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation, ECON LETT, 69(1), 2000, pp. 9-14
Citations number
7
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
69
Issue
1
Year of publication
2000
Pages
9 - 14
Database
ISI
SICI code
0165-1765(200010)69:1<9:DRFTBD>2.0.ZU;2-I
Abstract
This paper derives Lagrange multiplier tests based on artificial double len gth regressions (DLR) to jointly test for differenced linear or loglinear m odels with no heteroskedasticity or autocorrelation against a more general differenced Box-Cox model with heteroskedasticity or autocorrelation. These tests are easy to implement and are illustrated using an empirical example . (C) 2000 Elsevier Science S.A. All rights reserved.