TESTING THE AUTOCORRELATION STRUCTURE OF DISTURBANCES IN ORDINARY LEAST SQUARES AND INSTRUMENTAL VARIABLES REGRESSIONS: 1. INTRODUCTION

THIS PAPER DERIVES the asymptotic distribution of a vector of sample autocorrelations of regression residuals from a quite general linear regression model. The model is allowed to have a regression error that is a moving average of order q 0 with possibly conditionally heteroscedastic innovations; t...

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Bibliographic Details
Published in:Econometrica 1992-01, Vol.60 (1), p.185
Main Authors: Cumby, Robert E, Huizinga, John
Format: Article
Language:English
Subjects:
Foreign exchange markets
Generalized method of moments
Hypotheses
Interest rates
Lagrange multiplier
Random variables
Online Access:Get full text
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Summary:THIS PAPER DERIVES the asymptotic distribution of a vector of sample autocorrelations of regression residuals from a quite general linear regression model. The model is allowed to have a regression error that is a moving average of order q 0 with possibly conditionally heteroscedastic innovations; to have strictly exogenous, predetermined, and/or endogenous regressors; and to be estimated by a variety of Generalized Method of Moments estimators, such as ordinary least squares, two-stage least squares, or two-step two-stage least squares.
ISSN:0012-9682
1468-0262