T. J. Rothenberg's (1984) Edgeworth test size correction for the linear model with a nonscalar covariance matrix is applied to the special case of AR(1) errors. Simulations show that the correction reduces the overrejection that is commonly encountered in this model, although substantial overrejection remains when the original amount is large. When the regressors are autocorrelated and collinear (for example, two trended regressors) there is not nearly as much overrejection when testing a single restriction as there is when the model contains only one autocorrelated regressor.

An asymptotic approximation to the variances of Leamer's (1983) extreme bounds is given. It can be implemented using standard regression output.

Lonnie Magee, The Behaviour of a Modified Box-Cox Regression Model when Some Values of the Dependent Variable are Close to Zero, The Review of Economics and Statistics, Vol. 70, No. 2 (May, 1988), pp. 362-366

Using micro data from the Canadian Survey of Consumer Finances, 1971-91, we investigate the return to a university education. Our conclusions are that while there appears to have been some decline in the return to a university degree during the 1970s in Canada (similar to the United States), the return did not rebound much during the 1980s except among the youngest experience (age) group. There is, however, considerable noise in the ratios from year to year so that one is likely to draw misleading inferences if only a few years of data are used.