Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation

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3 Scopus citations

Abstract

This paper derives Lagrange multiplier tests based on artificial double length regressions (DLR) to jointly test for differenced linear or loglinear models with no heteroskedasticity or autocorrelation against a more general differenced Box-Cox model with heteroskedasticity or autocorrelation. These tests are easy to implement and are illustrated using an empirical example.

Original languageEnglish (US)
Pages (from-to)9-14
Number of pages6
JournalEconomics Letters
Volume69
Issue number1
DOIs
StatePublished - Oct 2000
Externally publishedYes

Keywords

  • Autocorrelation
  • Box-Cox difference model
  • C12
  • Double length regression
  • Heteroskedasticity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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