Skip to main content
SpringerLink
Log in

Double-length regressions for linear and log-linear regressions with AR(1) disturbances

  • Notes
  • Published:
Statistical Papers Aims and scope Submit manuscript

Abstract

This paper derives Lagrange Multiplier tests based on double-length artificial regressions (DLR) for testing linear and log-linear regressions with AR(1) disturbances against Box-Cox alternatives These DLR tests are easier to compute than the corresponding likelihood ratio tests, and are easily generalized to test jointly for functional form and serial correlation. Two illustrative examples are given to show the importance of jointly testing for functional form and serial correlation.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Baltagi, B.H. (1997a), Testing linear and loglinear error components regressions against Box-Cox alternatives,Statistics & Probability Letters 33, 63–68.

    Article  Google Scholar 

  • Baltagi, B.H. (1997b) A joint test for functional form and random individual effects,Econometric Theory Problem 97.1.3, 13, 307–308.

    Google Scholar 

  • Baltagi, B.H. and J.M. Griffin (1983), Gasoline demand in the OECD: An application of pooling and testing procedures,European Economic Review 22, 117–137.

    Article  Google Scholar 

  • Baltagi, B.H. and D. Levin (1992), Cigarette taxation: Raising revenues and reducing consumption,Structural Change and Economic Dynamics 3, 321–335.

    Article  Google Scholar 

  • Beach, C.M and J.G. MacKinnon (1978), A maximum likelihood procedure for regression with auto-correlated errors,Econometrica 46, 51–58.

    Article  MATH  MathSciNet  Google Scholar 

  • Bera, A.K. and C.M. Jarque (1982), Model specification tests: a simultaneous approach,Journal of Econometrics 20, 59–82.

    Article  MATH  MathSciNet  Google Scholar 

  • Bera A.K. and C.R. McKenzie (1986), Alternative forms and properties of the score test,Journal of Applied Statistics 13, 13–25.

    Article  Google Scholar 

  • Box, G.E.P. and D.R. Cox (1964), An analysis of transformations,Journal of the Royal Statistical Society, SeriesB, 26, 211–252.

    MATH  MathSciNet  Google Scholar 

  • Davidson, R. and J.G. MacKinnon (1984), Model specification tests based on artificial linear regressions,International Economic Review 25, 485–502.

    Article  MATH  MathSciNet  Google Scholar 

  • Davidson, R. and J.G. MacKinnon (1985), Testing linear and loglinear regressions against Box-Cox alternatives,Canadian Journal of Economics 18, 499–517.

    Article  Google Scholar 

  • Davidson, R. and J.G. MacKinnon (1988), Double-length artificial regressions,Oxford Bulletin of Economics and Statistics 50, 203–217.

    Google Scholar 

  • Davidson, R. and J.G. MacKinnon (1993),Estimation and inference in econometrics (Oxford University Press, New York).

    MATH  Google Scholar 

  • Godfrey, L.G. and M.R. Wickens (1981), Testing linear and log-linear regressions for functional form,Review of Economic Studies 48, 487–496.

    Article  MATH  MathSciNet  Google Scholar 

  • Godfrey, L.G., M. McAleer and C.R. McKenzie (1988), Variable addition and Lagrange Multiplier tests for linear and logarithmic regression models,Review of Economics and Statistics 70, 492–503.

    Article  Google Scholar 

  • Savin, N.E. and K.J. White (1978), Estimation and testing for functional form and autocorrelation: a simultaneous approach,Journal of Econometrics 8, 1–12.

    Article  MATH  MathSciNet  Google Scholar 

  • Tse, Y.K. (1984), Testing linear and log-linear regressions with autocorrelated errors,Economics Letters 14, 333–337.

    Article  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Economics, Texas A&M University, 77843-4228, College Station, TX, USA

    Badi H. Baltagi

Authors
  1. Badi H. Baltagi
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Baltagi, B.H. Double-length regressions for linear and log-linear regressions with AR(1) disturbances. Statistical Papers 40, 199–209 (1999). https://doi.org/10.1007/BF02925518

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF02925518

Keywords

Search

Navigation