Controlling the overall significance level of a battery of least squares diagnostic tests

Oxford Bulletin of Economics and Statistics

Volumn 67, Issue 2, 2005, Pages 263-279

  Godfrey, Leslie G ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 15844421390     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2004.00119.x     Document Type: Article

References (26)

1. Beran, R. (1988). 'Prepivoting test statistics: a bootstrap view of asymptotic refinements', Journal of the American Statistical Association, Vol. 83, pp. 687-697.
2. Breusch, T. S. (1978), 'Testing for autocorrelation in dynamic linear models', Australian Economic Papers, Vol. 17, pp. 334-355.
3. Breusch, T. S. and Pagan, A. R. (1979). 'A simple test for heteroscedasticity and random coefficient variation', Econometrica, Vol. 47, pp. 1287-1294.
4. Chow, G. (1960). 'Tests of equality between sets of coefficients in two linear regressions', Econometrica, Vol. 28, pp. 591-605.
5. Darroch, J. N. and Silvey, S. D. (1963). 'On testing more than one hypothesis', Annals of Mathematical Statistics, Vol. 34, pp. 555-567.
6. Davidson, R. and MacKinnon, J. G. (1999). 'Bootstrap testing in nonlinear models', International Economic Review, Vol. 40, pp. 487-508.
7. Davidson, R. and MacKinnon, J. G. (2002). 'Bootstrap J tests of nonnested linear regression models', Journal of Econometrics, Vol. 109, pp. 167-193.
8. Davison, A. C. and Hinkley, D. V. (1997). Bootstrap Methods and their Application, Cambridge University Press, Cambridge.
9. Durbin, J. (1970). 'Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables', Econometrica, Vol. 38, pp. 410-421.
10. Efron, B. and Tibshirani, R. J. (1993). An Introduction to the Bootstrap, Chapman and Hall, London.
11. Godfrey, L. G. (1978). 'Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables', Econometrica, Vol. 49, pp. 1293-1302.
12. Godfrey, L. G. (1998). 'Tests of non-nested regression models: some results on small sample behaviour and the bootstrap', Journal of Econometrics, Vol. 84, pp. 59-74.
13. Godfrey, L. G. and Gerrard, W. J. (1998). 'Diagnostic checks for single-equation error-correction and autoregressive distributed lag models', Manchester School, Vol. 66, pp. 222-237.
14. Godfrey, L. G. and Orme, C. D. (1999). 'The robustness, reliability, and power of heteroskedasticity tests', Econometric Reviews, Vol. 18, pp. 169-194.
15. Godfrey, L. G. and Orme, C. D. (2000). 'Controlling the significance levels of prediction error tests for linear regression models', Econometrics Journal, Vol. 3, pp. 66-83.
16. Greene, W. H. (2000). Econometric Analysis, 4th edn, Prentice Hall, Englewood Cliffs, NJ.
17. Horowitz, J. L. (1997). 'Bootstrap methods in econometrics: theory and numerical performance', in Kreps D. M. and Wallis K. F. (eds), Advances in Econometrics: Theory and Applications, Cambridge University Press, Cambridge.
18. Kiviet, J. (1986). 'On the rigour of some specification tests for modelling dynamic relationships', Review of Economic Studies, Vol. 53, pp. 241-262.
19. Koenker, R. (1981). 'A note on Studentizing a test for heteroskedasticity', Journal of Econometrics,Vol. 17, pp. 107-112.
20. Lam, J.-P. and Veall, M. R. (2002). 'Bootstrap prediction intervals for single period regression forecasts', International Journal of Forecasting, Vol. 18, pp. 125-130.
21. Li, H. and Maddala, G. S. (1996). 'Bootstrapping time series models', Econometric Reviews, Vol. 15, pp. 115-158.
22. McAleer, M. (1994). 'Sherlock Holmes and the search for truth: a diagnostic tale', Journal of Economic Surveys, Vol. 8, pp. 317-353.
23. Serlin, R. C. (2000). 'Testing for robustness in Monte Carlo studies', Psychological Methods, Vol. 5, pp. 230-240.
24. Thursby, J. and Schmidt, P. (1977). 'Some properties of tests for specification error in a linear regression model', Journal of the American Statistical Association, Vol. 74, pp. 635-641.
25. White, H. (1980). 'Using least squares to approximate unknown regression functions', International Economic Review, Vol. 21, pp. 149-170.
26. Wooldridge, J. M. (1999). 'Asymptotic properties of some specification tests in linear models with integrated processes', in Engle R. F. and White H. (eds), Cointegration, Causality and Forecasting - Festschrift in Honour of Clive W. J. Granger, Oxford University Press, Oxford.