Econometrica: May 1980, Volume 48, Issue 4

Some Tests of Dynamic Specification for a Single Equation

https://doi.org/0012-9682(198005)48:4<879:STODSF>2.0.CO;2-6
p. 879-897

J. D. Sargan

This paper discusses the constraints on a dynamic equation represented by the possibility of factoring out an autoregressive error specification from a general lag structure. A suitable Wald test is defined and applied to a practical case.

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