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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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
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Huizinga, John
description 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.
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source EconLit s plnými texty; ABI/INFORM Collection; ABI/INFORM Archive; JSTOR Archival Journals and Primary Sources Collection
subjects Foreign exchange markets
Generalized method of moments
Hypotheses
Interest rates
Lagrange multiplier
Random variables
title TESTING THE AUTOCORRELATION STRUCTURE OF DISTURBANCES IN ORDINARY LEAST SQUARES AND INSTRUMENTAL VARIABLES REGRESSIONS: 1. INTRODUCTION
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