Econometrica: Sep 1983, Volume 51, Issue 5

A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification

https://doi.org/0012-9682(198309)51:5<1551:AGOTDS>2.0.CO;2-R
p. 1551-1568

F. Mehta, J. D. Sargan

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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