Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Nov, 1978, Volume 46, Issue 6

Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

https://doi.org/0012-9682(197811)46:6<1303:TFHOSC>2.0.CO;2-U
p. 1303-1310

L. G. Godfrey

There has been increasing concern recently over the use of the simple first order Markov form to model error autocorrelation in regression analysis. The consequence of misspecifying the error model will be especially serious when the regressors include lagged values of the dependent variable. The purpose of this paper is to develop Lagrange multiplier tests of the assumed error model against specified ARMA alternatives. It is shown that all of the tests can be regarded as asymptotic tests of the significance of a coefficient of determination, and a table is provided which gives details of two general tests and several special cases.


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