432
Views
264
CrossRef citations to date
0
Altmetric
Original Articles

Diagnostic tests as residual analysis

&
Pages 159-218 | Published online: 21 Mar 2007

References

  • Amemiya , T. 1977 . A note on a heteroscedastic model . Journal of Econometrics , 6 : 365 – 370 .
  • Andrews , D. F. 1977 . Significance tests based on residuals , 58 : 365 – 370 .
  • Anscombe , F. J. 1961 . Examination of Residuals. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability , 4 : 1 – 36 .
  • Bassett , G. and Koenker , R. 1978 . Asymptotic theory of least absolute error regression , 73 : 618 – 622 .
  • Bera A. K. Jarque C. M. An efficient large sample test for normality of observations and regression residuals Australian National University 1981 Working Papers in Economics and Econometrics No. 049
  • Bera , A. K. and Jarque , C. M. 1982 . Model Specification tests: a simultaneous approach , 20 : 59 – 82 .
  • Bera , A. K. and McKenzie , C. R. 19825 . Alternative forms and properties of the Lagrange multiplier test , mimeo : Australian National University .
  • Bickel , P. J. 1978 . Using residuals robustly I: Tests for heteroscedasticity. nonlinearity. The Annals of Statistics , 6 : 266 – 291 .
  • Bierens , H. Tests of model specification in the absence of alternative hypotheses . North American Summer Meeting of the Econometric Society . 1982 . Paper presented at 1982
  • Box , G. E. P. 1953 . Non-normality and tests on variances. Biometrika , 40 : 318 – 355 .
  • Breusch , T. S. 1978 . Testing for autocorrelation in dynamic linear models. Australian Economic Papers , 17 : 334 – 355 .
  • Breusch , T. S. 1978 . Testing for autocorrelation in dynamic linear models. Australian Economic Papers , 17 : 334 – 355 .
  • Breusch , T. S. and Godfrey , L. G. 1981 . A review of recent work on testing for autocorrelation in dynamic economic models. Macroeconomic Analysis: Essays in Macroeconomics and Econometrics , Edited by: Currie , D. A. , Nobay , R. and Peel , D. London : Croom Helm .
  • Breusch , T. S. and Pagan , A. R. 1979 . A simple test for heteroscedasticity and random coefficient variation. Econometrica , 47 : 1287 – 1294 .
  • Breusch , T. S. and Pagan , A. R. 1980 . The Lagrange multiplier test and its applications to model specification in econometrics. Review of Economic Studies , 47 : 239 – 253 .
  • Brown , R. L. , Durbin , J. and Evans , J. M. 1975 . Journal of the Royal Statistical Society , 37 : 149 – 192 .
  • Chow , G. C. 1960 . Tests of equality between sets of coefficients in two linear regressions . Econometrica , 28 : 591 – 605 .
  • Chow , G. C. 1982 . Note on maximum-likelihood estimation of misspecified models , Princeton University . Econometric Research Program, Research Memorandum No. 300
  • Davies , R. B. 1977 . Hypothesis testing when a nuisance parameter is present only under the alternative . Biometrika , 64 : 247 – 254 .
  • Domowitz , I. and White , H. 1982 . Misspecified models with dependent observations . Journal of Econometrics , 20 : 35 – 58 .
  • Durbin , J. 1970 . Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables . Econometrica , 38 : 410 – 421 .
  • Eicker , F. 1967 . Limit theorems for regressions with unequal and dependent errors. Fifth Berkeley Symposium on Mathematical Statistics and Probability , 1 : 59 – 82 .
  • Engle , R. F. 1982a . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Engle , R. F. 1982b . A general approach to Lagrange Multiplier model diagnostics . Journal of Econometrics , 20 : 83 – 104 .
  • Epps , T. W. and Epps , M. L. 1977 . The robustness of some standard tests for autocorrelation and heteroscedasticity when both problems are present . Econometrica , 45 : 745 – 753 .
  • Farebrother , R. W. 1979 . A grouping test for misspecification . Econometrica , 47 : 209 – 210 .
  • Fuller , W. A. 1975 . Regression analysis for sample survey . Sankhya , 37 : 117 – 132 . Series C
  • Godfrey , L. G. 1976 . Testing for serial correlation in dynamic simultaneous equation models . Econometrica , 44 : 1077 – 1084 .
  • Godfrey , L. G. 1978a . A note on the use of Durbin's h test when the equation is estimated by instrumental variables . Econometrica , 46 : 225 – 228 .
  • Godfrey , L. G. 1978b . Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables . Econometrica , 46 : 1303 – 1310 .
  • Godfrey , L. G. 1978c . Testing for multiplicative heteroskedasticity . Journal of Econometrics , 8 : 227 – 236 .
  • Godfrey , L. G. 1981 . On the invariance of the Lagrange multiplier test with respect to certain changes in the alternative hypothesis . Econometrica , 49 : 1443 – 1455 .
  • Godfrey , L. G. and Wickens , M. R. 1981 . Testing linear and loglinear regressions for functional form . Review of Economic Studies , 48 : 487 – 496 .
  • Godfrey , L. G. and Wickens , M. R. 1982 . Tests of misspecification using locally equivalent alternative models. Evaluating the Reliability of Macroeconomic Models , Edited by: Chow , G. and Corsi , P. London : Wiley .
  • Goldfeld , S. M. and Quandt , R. E. 1972 . Nonlinear Methods in Econometrics , Amsterdam : North Holland .
  • Gourieroux , C. , Holly , A. and Monfort , A. 1982 . Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters . Econometrica , 50 : 63 – 80 .
  • Granger , C. W. J. and Andersen , A. 1978 . An Introduction to Bilinear Time Series Models , Gottingen : Vandenhoeck & Ruprecht .
  • Hall , P. and Heyde , C. C. 1980 . Martingale Limit Theory and its Applications , London : Academic Press .
  • Harvey , A. C. and Phillips , G. D. A. 1981 . Testing for heteroscedasticity in simultaneous equation models . Journal of Econometrics , 15 : 311 – 340 .
  • Hendry , D. F. 1976 . The structure of simultaneous equation estimators . Journal of Econometrics , 4 : 51 – 85 .
  • Hendry , D. F. 1980 . Econometrics: Alchemy or Science? . Economica , 47 : 387 – 406 .
  • Jarque C. M. McKenzie C. R. Testing for multivariate normality in simultaneous equation models Australian National University 1983 Working Papers in Economics and Econometrics No. 082
  • Kejian , H. H. 1974 . Random parameters in a simultaneous equation framework: identification and estimation . Econometrica , 42 : 517 – 527 .
  • Kelejian , H. H. 1982 . An extension of a standard test for heteroskedasticity to a systems framework . Journal of Econometrics , 20 : 325 – 333 .
  • Ejian , H. H. and Oates , W. E. 1972 . “ Introduction to Econometrics; Principles and Applications ” . New York : Harper Row .
  • King M. L. A bounds test for heteroscedasticity Monash University 1982 Working Paper No. 5/82
  • King M. L. Hillier G. A small sample power property of the Lagrange multiplier test Monash University 1980 Discussion Paper
  • Koenker , R. 1981 . A note on studentizing a test for heteroscedasticity . Journal of Econometrics , 17 : 107 – 112 .
  • Koenker , R. 1982 . Robust methods in econometrics . Econometric Reviews , 1 : 213 – 255 .
  • La Motte , L. R. and Mcwhorter , A. 1978 . An exact test for the presence of random walk coefficients in a linear regression model . Journal of the American Statistical Association , 73 : 816 – 820 .
  • Loeb , P. O. 1976 . Specification error tests and investment functions . Econometrica , 44 : 185 – 194 .
  • Mardia , K. V. 1980 . Tests for univariate and multivariate normality. Handbook of Statistics , Edited by: Krishnaiah , P. R. Vol. 1 , 279 – 320 . Amsterdam : North Holland .
  • Mcaleer , M. and Fisher , G. 1982 . Testing separate regression models subject to specification error . Journal of Econometrics , 19 : 125 – 145 .
  • Mizon , G. E. and Richard , J. F. 1982 . “ The encompassing principle and its application to nonnested hypotheses ” . University of Southampton . Working Paper
  • Moran , P. A. P. 1970 . On asymptotically optimal tests of composite hypotheses , 57 : 47 – 55 .
  • Pagan , A. R. 1978 . Some simple tests for nonlinear time series models , Universite Catho1ique de Louvain . CORE Discussion Paper 7812
  • Pagan A. R. Hall A. D. Trivedi P. K. Assessing the variability of inflation Australian National University 1981 Working Papers in Economics and Econometrics No. 049
  • Pagan A. R. Hall A. D. Diagnostic tests as residual analysis Australian National University 1983 Working Papers in Economics and Econometrics No. 087
  • Pagan A. R. Tanaka K. A further test for assessing the stability of regression coefficients Australian National University 1979 Working Papers in Economics and Econometrics No. 016
  • Pesaran , M. H. 1982 . A.critique of the proposed tests of the natural rate/rational expectations hypothesis . Economic Journal , 92 : 529 – 554 .
  • Plosser , C. , Schwert , G. W. and White , H. 1982 . Differencing as a test of specification . International Economic Review , 23 : 535 – 552 .
  • Ramsey , J. B. 1969 . Tests for specification errors in classical linear least-squares regression analysis . Journal of the Royal Statistical Society , 31 : 350 – 371 . Series B
  • Ramsey , J. B. 1974 . “ Classical model selection through specification error tests ” . In Frontiers in Econometrics , Edited by: Zarembka , P. 13 – 47 . New York : Academic Press .
  • Ramsey , J. B. and Alexander , A. 1982 . The econometric approach to business cycle analysis reconsidered , 82 – 08 . New York University Discussion .
  • Rao , C. R. 1973 . “ Linear Statistical Inference and its Applications ” . New York : Wiley .
  • Robinson , P. 1977 . The estimation of a nonlinear moving average model . Stochastic Processes and their Applications , 5 : 81 – 90 .
  • Rothenberg , T. J. 1973 . Efficient estimation with a priori information. Cowles Foundation Monograph 23 , New Haven : Yale University Press .
  • Sargan , J. D. 1958 . The estimation of economic relationships using instrumental variables . Econometrica , 26 : 393 – 415 .
  • Szroeter , J. 1978 . A class of parametric tests for heteroscedasticity in linear economic models . Econometrica , 46 : 1311 – 1327 .
  • Tanaka , K. 1981 . “ On the Lagrange multiplier test for the constancy of regression coefficients and the asymptotic expansion ” . mimeo : Kanazawa University .
  • Thursby , J. G. 1982 . Misspecification, heteroscedasticity and the Chow and Go1dfe1d-Quandt tests . The Review of Economics and Statistics , LXIV : 314 – 321 .
  • Wallis , K. F. 1972 . Testing for fourth order autocorrelation in quarterly regression equations . Econometrica , 40 : 617 – 636 .
  • Watson , M. 1980 . “ Testing for varying regression coefficients when a parameter is unidentified ” . 80 – 8 . San Diego : University of California . Discussion Paper No
  • White , H. 1980 . A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity . Econometrica , 48 : 817 – 838 .
  • White , H. 1982 . Maximum likelihood estimation of misspecified models . Econometrica , 50 : 1 – 25 .
  • White , H. and Macdonald , G. M. 1980 . Some large sample tests for nonnorma1ity in the linear regression model . Journal of the American Statistical Association , 75 : 16 – 28 .
  • Zellner , A. 1962 . An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias . Journal of the American Statistical Association , 57 : 348 – 368 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.