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A Specification Test for Models Estimated by GLS

The Review of Economics and Statistics 1986 68(4), 711
We develop a new specification test which can easily be applied to regression models that have been estimated by generalized least squares. The test is a variant of the F-test. It is derived for the general case, and also, in more detail, for the commonly encountered case of models with AR(1) errors. Two empirical examples are presented, one of them involving a well-known model of exchange rate determination.