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通过变量增广检验工具变量估计动态模型中的序列相关AI 解读

Instrumental variable tests for serial correlation can be carried out by adding lagged residuals from initial estimation to the regressors of the model under scrutiny and then checking their joint significance. It is shown that asymptotically valid tests are obtained if the lagged residuals are also added to the initial instrument set. Monte Carlo evidence suggests that useful improvements in finite sample behavior under null and alternative hypotheses can be produced when…

时间序列模型适切性的检验AI 解读

The problem of testing the adequacy of an autoregressive-moving average time series model is considered. A new approach is proposed, and some Monte Carlo results on the finite sample size and power of the test procedures of this paper are reported. The test statistics discussed by Box & Pierce (1970) and Ljung & Box (1978) are also examined.

回归变量含滞后因变量时对一般自回归与移动平均误差模型的检验AI 解读

Since dynamic regression equations are often obtained from rational distributed lag models and include several lagged values of the dependent variable as regressors, high order serial correlation in the disturbances is frequently a more plausible alternative to the assumption of serial independence than the usual first order autoregressive error model. The purpose of this paper is to examine the problem of testing against general autoregressive and moving average error…

工具变量估计方程中使用 Durbin h 检验的说明AI 解读

THE PURPOSE OF THIS PAPER is to consider the validity of Durbin's [1] h test when the h statistic is calculated from instrumental variable estimates of an autoregressive model. It seems useful to provide such an analysis since h tests based upon instrumental variable results have been reported in the empirical literature (for example, see McCallum [3]). The validity of the h test is investigated by deriving the asymptotic distribution (under the null hypothesis) of an…

检验Almon滞后法的约束AI 解读

This article considers testing the restrictions imposed by Almon's approach to estimation of distributed lag relationships. The conventional likelihood ratio test procedure requires that the regression equation be estimated in unrestricted form and then subject to the Almon restrictions. An alternative test is suggested which has the advantage of requiring only that the unrestricted version be estimated. The problem of selecting the order of the polynomial is discussed and a…