Econometrica: Jan 1978, Volume 46, Issue 1
Testing for Autocorrelation with Missing Observations
https://doi.org/0012-9682(197801)46:1<59:TFAWMO>2.0.CO;2-N
p.
59-67
Kenneth J. White, N. E. Savin
This paper considers procedures for testing for autocorrelation when there are missing observations on both the dependent and explanatory variables. These procedures include Durbin-Watson type tests given the vector of residuals, tests based on a set of uncorrelated residuals, and large sample likelihood ratio and Wald tests.Log In To View Full Content