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A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification
J. D. Sargan
F. Mehta
Abstract
When estimating a single equation with an error generated by an autoregressive process of higher order than one using a sequence of likelihood ratio tests to determine the correct order, the asymptotic size of the tests will be biased because of multiple optima of the likelihood function. A new type is suggested similar to the Durbin test [2] which is not biased in this way.
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