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

Badi H. Baltagi; Dong Li

doi:10.1016/s0165-1765(00)00284-6

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

Badi H. Baltagi, Dong Li

Research output: Contribution to journal › Article › peer-review

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 language	English (US)
Pages (from-to)	9-14
Number of pages	6
Journal	Economics Letters
Volume	69
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(00)00284-6
State	Published - Oct 2000
Externally published	Yes

Keywords

Autocorrelation
Box-Cox difference model
C12
Double length regression
Heteroskedasticity

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/s0165-1765(00)00284-6

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title = "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation",

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.",

keywords = "Autocorrelation, Box-Cox difference model, C12, Double length regression, Heteroskedasticity",

author = "Baltagi, {Badi H.} and Dong Li",

note = "Funding Information: The authors acknowledge the financial support from the Private Enterprise Research Center.",

year = "2000",

month = oct,

doi = "10.1016/s0165-1765(00)00284-6",

language = "English (US)",

volume = "69",

pages = "9--14",

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T1 - Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation

AU - Baltagi, Badi H.

AU - Li, Dong

N1 - Funding Information: The authors acknowledge the financial support from the Private Enterprise Research Center.

PY - 2000/10

Y1 - 2000/10

N2 - 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.

AB - 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.

KW - Autocorrelation

KW - Box-Cox difference model

KW - C12

KW - Double length regression

KW - Heteroskedasticity

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JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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