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Leslie George Godfrey

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. L Godfrey & T Yamagata, 2010. "A robust test for error cross-section correlation in panel models," Discussion Papers 10/16, Department of Economics, University of York.

    Cited by:

    1. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," Economics Discussion Paper Series 1118, Economics, The University of Manchester.

  2. Les Godfrey & Chris Orme, "undated". "The Sensitivity of some General Checks to Omitted Variables in the Linear Model," Discussion Papers 92/3, Department of Economics, University of York.

    Cited by:

    1. Santos Silva, Joao & Tenreyro, Silvana, 2009. "Trading partners and trading volumes: implementing the Helpman-Melitz-Rubinstein model empirically," LSE Research Online Documents on Economics 25505, London School of Economics and Political Science, LSE Library.
    2. Daniel Acheampong & Tanya Benford, 2020. "Alternative Treatment Of Contribution In Aid Of Construction: The Impact On Investor-Owned Utility Plant Asset Replacement," Accounting & Taxation, The Institute for Business and Finance Research, vol. 12(1), pages 81-96.
    3. Sergio Destefanis & Matteo Fragetta & Emanuel Gasteiger, 2024. "Does one size fit all in the Euro Area? Some counterfactual evidence," Empirical Economics, Springer, vol. 67(4), pages 1615-1647, October.
    4. Simon Peters, 2000. "On the use of the RESET test in microeconometric models," Applied Economics Letters, Taylor & Francis Journals, vol. 7(6), pages 361-365.
    5. Amogh Ghimire & Feiting Lin & Peifen Zhuang, 2021. "The Impacts of Agricultural Trade on Economic Growth and Environmental Pollution: Evidence from Bangladesh Using ARDL in the Presence of Structural Breaks," Sustainability, MDPI, vol. 13(15), pages 1-15, July.
    6. Joachim Zietz, 2006. "Detecting neglected parameter heterogeneity with Chow tests," Applied Economics Letters, Taylor & Francis Journals, vol. 13(6), pages 369-374.
    7. Eduardo Fé-Rodríguez & Chris D. Orme, 2009. "On the Sensitivity of Kernel-based Tests of Conditional Moment Restrictions," Economics Discussion Paper Series 0912, Economics, The University of Manchester.
    8. Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006. "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, vol. 31(3), pages 631-643, September.
    9. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    10. Christopher Skeels & Franics Vella, 1997. "Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 69-92.
    11. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
    12. L. G. Godfrey & M. R. Veal, 2000. "Alternative approaches to testing by variable addition," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 241-261.
    13. Landon, Stuart & Smith, Constance, 1997. "The Use of Quality and Reputation Indicators by Consumers: The Case of Bordeaux Wine," MPRA Paper 9283, University Library of Munich, Germany.
    14. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-281, May.
    15. Bogliacino, Francesco & Cardona, Sebastian Gómez, 2014. "Capabilities and investment in R&D: An analysis on European data," Structural Change and Economic Dynamics, Elsevier, vol. 31(C), pages 101-111.

Articles

  1. Francesco Bravo & Leslie G. Godfrey, 2012. "Bootstrap HAC Tests for Ordinary Least Squares Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(6), pages 903-922, December.

    Cited by:

    1. Harman Preet Singh & Ajay Singh & Fakhre Alam & Vikas Agrawal, 2022. "Impact of Sustainable Development Goals on Economic Growth in Saudi Arabia: Role of Education and Training," Sustainability, MDPI, vol. 14(21), pages 1-25, October.
    2. Andrea Fracasso & Giuseppe Vittucci Marzetti, 2012. "International R&D spillovers, absorptive capacity and relative backwardness: a panel smooth transition regression model," Department of Economics Working Papers 1203, Department of Economics, University of Trento, Italia.
    3. Pavel Svoboda, 2014. "Predicting Electricity Consumption in Corporate Sector—Case of the Czech Republic," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(2), pages 235-236, May.

  2. Leslie G. Godfrey, 2011. "Robust Non‐nested Testing for Ordinary Least Squares Regression when Some of the Regressors are Lagged Dependent Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 651-668, October.

    Cited by:

    1. Uchôa, Carlos F.A. & Cribari-Neto, Francisco & Menezes, Tatiane A., 2014. "Testing inference in heteroskedastic fixed effects models," European Journal of Operational Research, Elsevier, vol. 235(3), pages 660-670.
    2. Francisco Cribari-Neto & Sadraque E.F. Lucena, 2015. "Nonnested hypothesis testing in the class of varying dispersion beta regressions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 967-985, May.

  3. L. G. Godfrey, 2008. "Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(3), pages 415-429, June.

    Cited by:

    1. Farai Jena & Barry Reilly, 2022. "Are spectator preferences weaker for cup compared to league competitions? Evidence from Irish soccer," Applied Economics Letters, Taylor & Francis Journals, vol. 29(9), pages 835-841, May.
    2. Damrongsak Rinchumphu & Chris Eves & Connie Susilawati, 2013. "Brand Value of Property in Bangkok Metropolitan Region (BMR), Thailand," International Real Estate Review, Global Social Science Institute, vol. 16(3), pages 296-322.

  4. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.

    Cited by:

    1. Hu, Xuemei & Wang, Zhizhong & Liu, Feng, 2008. "Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1560-1569, September.
    2. Sourabh, Shalinee & Pavithran, Sagar & Menon, Balagopal G. & Mahanty, Biswajit, 2023. "Econometric modeling for the influence of economic variables on secondary copper production in India," Resources Policy, Elsevier, vol. 86(PB).
    3. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
    4. Erum Toor & Tanweer Ul Islam, 2019. "Power Comparison of Autocorrelation Tests in Dynamic Models," International Econometric Review (IER), Econometric Research Association, vol. 11(2), pages 58-69, September.

  5. A. Canepa & L. G. Godfrey, 2007. "Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 434-453, May.

    Cited by:

    1. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    2. Fernanda Maria Müller & Fábio M Bayer, 2017. "Improved two-component tests in Beta-Skew-t-EGARCH models," Economics Bulletin, AccessEcon, vol. 37(4), pages 2364-2373.
    3. Canepa, Alessandra, 2020. "Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202006, University of Turin.
    4. Canepa, Alessandra, 2016. "A note on Bartlett correction factor for tests on cointegrating relations," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 296-304.

  6. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.

    Cited by:

    1. Kleijnen, J.P.C., 2007. "Simulation Experiments in Practice : Statistical Design and Regression Analysis," Other publications TiSEM d4bee6b0-7a00-4695-85ed-6, Tilburg University, School of Economics and Management.
    2. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
    3. Kleijnen, J.P.C., 2006. "White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice," Discussion Paper 2006-50, Tilburg University, Center for Economic Research.
    4. Annalivia Polselli, 2023. "Robust Inference in Panel Data Models: Some Effects of Heteroskedasticity and Leveraged Data in Small Samples," Papers 2312.17676, arXiv.org.
    5. Pötscher, Benedikt M. & Preinerstorfer, David, 2021. "Valid Heteroskedasticity Robust Testing," MPRA Paper 117855, University Library of Munich, Germany, revised Jul 2023.
    6. Benedikt M. Potscher & David Preinerstorfer, 2020. "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," Papers 2005.04089, arXiv.org, revised Nov 2021.
    7. Rand R. Wilcox, 2017. "Linear regression: robust heteroscedastic confidence bands that have some specified simultaneous probability coverage," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2564-2574, October.
    8. Hiroaki Chigira & Tsunemasa Shiba, 2015. "Dirichlet Prior for Estimating Unknown Regression Error Heteroskedasticity," TERG Discussion Papers 341, Graduate School of Economics and Management, Tohoku University.
    9. Luke Hartigan, 2016. "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers 2016-06, School of Economics, The University of New South Wales.
    10. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics.
    11. José Curto & José Pinto & Ana Morais & Isabel Lourenço, 2011. "The heteroskedasticity-consistent covariance estimator in accounting," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 427-449, November.
    12. Dale Poirier, 2008. "Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap," Working Papers 080905, University of California-Irvine, Department of Economics.

  7. L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva, 2006. "Simulation-based tests for heteroskedasticity in linear regression models: Some further results," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 76-97, March.

    Cited by:

    1. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," Economics Discussion Paper Series 1124, Economics, The University of Manchester.
    2. Eduardo Fé-Rodríguez & Chris D. Orme, 2009. "On the Sensitivity of Kernel-based Tests of Conditional Moment Restrictions," Economics Discussion Paper Series 0912, Economics, The University of Manchester.
    3. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2013. "Heteroskedasticity testing through a comparison of Wald statistics," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 131-160, August.
    4. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2011. "Heteroskedasticity Testing Through Comparison of Wald-Type Statistics," GEMF Working Papers 2011-05, GEMF, Faculty of Economics, University of Coimbra.
    5. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    6. Gignac, Gilles E. & Zajenkowski, Marcin, 2020. "The Dunning-Kruger effect is (mostly) a statistical artefact: Valid approaches to testing the hypothesis with individual differences data," Intelligence, Elsevier, vol. 80(C).

  8. Leslie G. Godfrey, 2005. "Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 263-279, April.

    Cited by:

    1. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
    2. Maxwell King & Xibin Zhang & Muhammad Akram, 2019. "Hypothesis Testing Based on a Vector of Statistics," Monash Econometrics and Business Statistics Working Papers 30/19, Monash University, Department of Econometrics and Business Statistics.
    3. Christopher J. Bennett, 2009. "p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate," Vanderbilt University Department of Economics Working Papers 0905, Vanderbilt University Department of Economics.
    4. Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity in sample selection models," Economics Working Paper Series 1145, University of St. Gallen, School of Economics and Political Science.
    5. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Paper 1127, Economics Department, Queen's University.
    6. Christopher J. Bennett, 2009. "Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions," Vanderbilt University Department of Economics Working Papers 0908, Vanderbilt University Department of Economics.
    7. Martin Huber & Giovanni Mellace, 2015. "Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 398-411, May.
    8. Lena S. Bjerkander & Jonas Dovern & Hans Manner, 2024. "Testing with Vectors of Statistics: Revisiting Combined Hypothesis Tests with an Application to Specification Testing," CESifo Working Paper Series 11027, CESifo.

  9. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.

    Cited by:

    1. Frauke Schleer & Willi Semmler, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," SCEPA working paper series. 2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    2. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
    3. David Harris & Hsein Kew, 2014. "Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 203-217, May.
    4. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    5. Schleer, Frauke & Semmler, Willi, 2013. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068, ZEW - Leibniz Centre for European Economic Research.
    6. Klaus Grobys, 2015. "Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity," Empirical Economics, Springer, vol. 48(3), pages 1189-1202, May.
    7. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The University of Manchester.
    8. Liu-Evans Gareth D. & Phillips Garry D. A., 2012. "Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
    9. Soo-Bin Jeong & Bong-Hwan Kim & Tae-Hwan Kim & Hyung-Ho Moon, 2017. "Unit Root Tests In The Presence Of Multiple Breaks In Variance," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 345-361, June.
    10. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
    11. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
    12. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
    13. Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
    14. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," Economics Discussion Paper Series 1118, Economics, The University of Manchester.
    15. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Economics Discussion Paper Series 0611, Economics, The University of Manchester.
    16. Jeong, Jinook & Kang, Byunguk, 2006. "Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity," MPRA Paper 9791, University Library of Munich, Germany, revised May 2008.
    17. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
    18. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
    19. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    20. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Structural Breaks in the International Transmission of Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series 119, Economics, The University of Manchester.
    21. Pavlidis Efthymios G. & Paya Ivan & Peel David A., 2013. "Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 297-312, May.

  10. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.

    Cited by:

    1. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, vol. 39(2), pages 311-326, September.
    2. Emmanuel Flachaire, 2005. "More efficient tests robust to heteroskedasticity of unknown form," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175914, HAL.
    3. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
    4. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," Economics Discussion Paper Series 1124, Economics, The University of Manchester.
    5. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
    6. Ralf Becker & Denise R. Osborn, 2012. "Weighted Smooth Transition Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 795-811, August.
    7. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," Economics Discussion Paper Series 0504, Economics, The University of Manchester.
    8. Benedikt M. Potscher & David Preinerstorfer, 2020. "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," Papers 2005.04089, arXiv.org, revised Nov 2021.
    9. Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf, 2016. "Improving weighted least squares inference," ECON - Working Papers 232, Department of Economics - University of Zurich, revised Nov 2017.
    10. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
    11. Pascal Lavergne & Valentin Patilea, 2008. "One for All and All for One:Regression Checks With Many Regressors," Discussion Papers dp08-06, Department of Economics, Simon Fraser University.
    12. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Economics Discussion Paper Series 0611, Economics, The University of Manchester.
    13. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
    14. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    15. DiCiccio, Cyrus J. & Romano, Joseph P. & Wolf, Michael, 2019. "Improving weighted least squares inference," Econometrics and Statistics, Elsevier, vol. 10(C), pages 96-119.
    16. Yamile Díaz Torres & Paride Gullo & Hernán Hernández Herrera & Migdalia Torres del Toro & Mario A. Álvarez Guerra & Jorge Iván Silva Ortega & Arne Speerforck, 2022. "Statistical Analysis of Design Variables in a Chiller Plant and Their Influence on Energy Consumption and Life Cycle Cost," Sustainability, MDPI, vol. 14(16), pages 1-19, August.

  11. Godfrey, Leslie G. & Orme, Chris D., 2002. "Using bootstrap methods to obtain nonnormality robust Chow prediction tests," Economics Letters, Elsevier, vol. 76(3), pages 429-436, August.

    Cited by:

    1. Eric A. Helland & Alexander Tabarrok, 2012. "Product Liability and Moral Hazard: Evidence from General Aviation," Journal of Law and Economics, University of Chicago Press, vol. 55(3), pages 593-630.

  12. L. G. Godfrey & M. R. Veal, 2000. "Alternative approaches to testing by variable addition," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 241-261.

    Cited by:

    1. Bera Anil K. & Bilias Yannis & Yoon Mann J. & Taşpınar Süleyman & Doğan Osman, 2020. "Adjustments of Rao’s Score Test for Distributional and Local Parametric Misspecifications," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-29, January.
    2. Doğan, Osman & Taşpınar, Süleyman & Bera, Anil K., 2021. "A Bayesian robust chi-squared test for testing simple hypotheses," Journal of Econometrics, Elsevier, vol. 222(2), pages 933-958.
    3. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.

  13. Leslie G. Godfrey & Chris D. Orme, 2000. "Controlling the significance levels of prediction error tests for linear regression models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 66-83.

    Cited by:

    1. Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
    2. Furno, Marilena, 2013. "Quantile regression and structural change in the Italian wage equation," Economic Modelling, Elsevier, vol. 30(C), pages 420-434.
    3. Leslie G. Godfrey, 2005. "Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 263-279, April.
    4. Chris D. Orme & Takashi Yamagata, 2006. "The asymptotic distribution of the F-test statistic for individual effects," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 404-422, November.
    5. Lam, J. -P. & Veall, M. R., 2002. "Bootstrap prediction intervals for single period regression forecasts," International Journal of Forecasting, Elsevier, vol. 18(1), pages 125-130.
    6. Marilena Furno, 2008. "Quantile regressions analysis of the Italian school system," Working Papers 2008-06, Universita' di Cassino, Dipartimento di Economia e Giurisprudenza.
    7. Godfrey, Leslie G. & Orme, Chris D., 2002. "Using bootstrap methods to obtain nonnormality robust Chow prediction tests," Economics Letters, Elsevier, vol. 76(3), pages 429-436, August.
    8. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
    9. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
    10. Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.

  14. L. G. Godfrey & C. D. Orme, 1999. "The robustness, reliabiligy and power of heteroskedasticity tests," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 169-194.

    Cited by:

    1. Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
    2. Leslie G. Godfrey, 2005. "Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 263-279, April.
    3. Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.
    4. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2011. "Heteroskedasticity Testing Through Comparison of Wald-Type Statistics," GEMF Working Papers 2011-05, GEMF, Faculty of Economics, University of Coimbra.
    5. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
    6. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    7. Gignac, Gilles E. & Zajenkowski, Marcin, 2020. "The Dunning-Kruger effect is (mostly) a statistical artefact: Valid approaches to testing the hypothesis with individual differences data," Intelligence, Elsevier, vol. 80(C).

  15. Leslie G. Godfrey, 1999. "Instrument Relevance in Multivariate Linear Models," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 550-552, August.

    Cited by:

    1. Rachid Boumahdi & Alban Thomas, 2006. "Instrument relevance and efficient estimation with panel data," Post-Print halshs-00131827, HAL.
    2. Siklos, Pierre L. & Bohl, Martin T., 2007. "Do actions speak louder than words? Evaluating monetary policy at the Bundesbank," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 368-386, June.
    3. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
    4. Joseph, Agnes S. & Kiviet, Jan F., 2005. "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 417-444, April.
    5. Gaetano Lisi, 2010. "The Strange Case of Dr. “Unemployed” and Mr “Hidden” in Italy," Economics Bulletin, AccessEcon, vol. 30(4), pages 2802-2816.
    6. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.
    7. Richards, Timothy J. & Mancino, Lisa, 2012. "Demand for Food Away from Home: A Multiple Discrete/Continuous Extreme Value Model," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 127103, International Association of Agricultural Economists.
    8. Pia Rattenhuber, 2012. "Marginal Taxes: A Good or a Bad for Wages?: The Incidence of the Structure of Income and Labor Taxes on Wages," Discussion Papers of DIW Berlin 1193, DIW Berlin, German Institute for Economic Research.
    9. Charles Nelson & Richard Startz & Eric Zivot, 2000. "Improved Inference for the Instrumental Variables Estimator," Econometric Society World Congress 2000 Contributed Papers 1600, Econometric Society.
    10. Siklos, Pierre L., 2008. "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, vol. 45(2), pages 164-184, April.
    11. Malmberg, Bo & Lindh, Thomas & Halvarsson, Max, 2005. "Productivity consequences of workforce ageing - Stagnation or a Horndal effect?," Arbetsrapport 2005:17, Institute for Futures Studies.
    12. Dwenger, Nadja & Rattenhuber, Pia & Steiner, Viktor, 2011. "Sharing the burden: Empirical evidence on corporate tax incidence," Discussion Papers 2011/19, Free University Berlin, School of Business & Economics.
    13. Thorsten Beck, 2009. "The Econometrics of Finance and Growth," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 25, pages 1180-1209, Palgrave Macmillan.
    14. Dwenger, Nadja & Steiner, Viktor, 2008. "Effective profit taxation and the elasticity of the corporate income tax base: Evidence from German corporate tax return data," arqus Discussion Papers in Quantitative Tax Research 57, arqus - Arbeitskreis Quantitative Steuerlehre.
    15. Nadja Dwenger & Viktor Steiner, 2009. "Financial Leverage and Corporate Taxation: Evidence from German Corporate Tax Return Data," Discussion Papers of DIW Berlin 855, DIW Berlin, German Institute for Economic Research.
    16. Gönül Çolak, 2010. "Diversification, Refocusing and Firm Value," European Financial Management, European Financial Management Association, vol. 16(3), pages 422-448, June.
    17. Eduardo Fé Rodríguez, 2009. "Adaptive Instrumental Variable Estimation of Heteroskedastic Error Component Models," Economics Discussion Paper Series 0921, Economics, The University of Manchester.
    18. Davis, George C. & Kim, Sung-Yong, 2002. "Measuring instrument relevance in the single endogenous regressor-multiple instrument case: a simplifying procedure," Economics Letters, Elsevier, vol. 74(3), pages 321-325, February.
    19. Carl-Johan Dalgaard & Henrik Hansen & Finn Tarp, 2001. "On the Empirics of Foreign Aid and Growth," EPRU Working Paper Series 03-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Sep 2003.
    20. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
    21. Carl-Johan Dalgaard & Henrik Hansen & Theo Larsen, 2003. "Income Skewness, Redistribution and Growth: A Reconciliation," EPRU Working Paper Series 03-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    22. Ali, Mubarik & Farooq, Umar, 2004. "Dietary Diversity And Rural Labor Productivity: Evidence From Pakistan," 2004 Annual meeting, August 1-4, Denver, CO 20310, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    23. Dwenger, Nadja & Steiner, Viktor, 2012. "Profit Taxation and the Elasticity of the Corporate Income Tax Base: Evidence From German Corporate Tax Return Data," National Tax Journal, National Tax Association;National Tax Journal, vol. 65(1), pages 118-150, March.
    24. Grant Hillier & Giovanni Forchini, 2004. "Ill-posed Problems and Instruments' Weakness," Econometric Society 2004 Australasian Meetings 357, Econometric Society.
    25. Kathleen M. Sheehan & Andrew T. Young, 2015. "It'S A Small World After All: Internet Access And Institutional Quality," Contemporary Economic Policy, Western Economic Association International, vol. 33(4), pages 649-667, October.
    26. Kim, Jinyong & Kim, Mingook & Lee, Jeong Hwan, 2019. "The effect of TARP on loan loss provisions and bank transparency," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 79-99.
    27. Ljungvall , Åsa & Gerdtham , Ulf-G, 2009. "More equal but heavier: A longitudinal analysis of income-related obesity inequalities in an adult Swedish cohort," Working Papers 2009:3, Lund University, Department of Economics.
    28. Per G. Fredriksson & Stephan Gohmann & Khawaja Mamun, 2009. "Taxing Under the Influence?," Public Finance Review, , vol. 37(3), pages 339-365, May.
    29. Zenetti, German & Klapper, Daniel, 2016. "Advertising Effects Under Consumer Heterogeneity – The Moderating Role of Brand Experience, Advertising Recall and Attitude," Journal of Retailing, Elsevier, vol. 92(3), pages 352-372.
    30. Lisi, Gaetano, 2010. "Occupazione irregolare e disoccupazione in Italia: un’analisi panel regionale [Underground Employment and Unemployment in Italy: A Panel Analysis]," MPRA Paper 22508, University Library of Munich, Germany.
    31. Fredriksson, Per & Mamun, Khawaja, 2009. "Gubernatorial Reputation and Vertical Tax Externalities: All Smoke, No Fire?," Working Papers 2009002, Sacred Heart University, John F. Welch College of Business.
    32. Bohl, Martin T. & Siklos, Pierre L., 2005. "The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank," Working Paper Series 2005,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    33. Siklos, Pierre L., 2006. "Hungary's entry into the euro area: Lessons for prospective members from a monetary policy perspective," Economic Systems, Elsevier, vol. 30(4), pages 366-384, December.

  16. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.

    Cited by:

    1. Davidson, Russell & MacKinnon, James G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," Queen's Institute for Economic Research Discussion Papers 273388, Queen's University - Department of Economics.
    2. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
    3. Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
    4. Nicolas DEBARSY & Cem ERTUR, 2016. "Interaction matrix selection in spatial econometrics with an application to growth theory," LEO Working Papers / DR LEO 2172, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    5. Debarsy, Nicolas & Ertur, Cem, 2019. "Interaction matrix selection in spatial autoregressive models with an application to growth theory," Regional Science and Urban Economics, Elsevier, vol. 75(C), pages 49-69.
    6. J M C Santos Silva, 1996. "A Score Test for Non-nested Hypotheses with Applications to Discrete Data Models," Discussion Papers 96-28 ISSN 1350-6722, University College London, Department of Economics.
    7. Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc.
    8. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
    9. Liew Khim Sen & Ahmad Zubaidi Baharumshah & Choo Wei Chong & Habshah Midi, 2003. "A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model," GE, Growth, Math methods 0307005, University Library of Munich, Germany.
    10. Bernard Fingleton & Silvia Palombi, 2016. "Bootstrap J -Test for Panel Data Models with Spatially Dependent Error Components, a Spatial Lag and Additional Endogenous Variables," Spatial Economic Analysis, Taylor & Francis Journals, vol. 11(1), pages 7-26, March.
    11. Hagemann, Andreas, 2012. "A simple test for regression specification with non-nested alternatives," Journal of Econometrics, Elsevier, vol. 166(2), pages 247-254.
    12. Leslie G. Godfrey, 2005. "Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 263-279, April.
    13. BHATTI, M.Ishaq & BODLA, Mahmud, A., 2008. "Empirical Power Comparison Of Non-Nested Tests For The Evm: Some Monte Carlo Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2).
    14. Russell Davidson & James MacKinnon, 2002. "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 419-429.
    15. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
    16. Yang, Ji-Chung, 2005. "Impact measurement for public investment evaluation: An application to Korea," Journal of Policy Modeling, Elsevier, vol. 27(5), pages 535-551, July.
    17. Godfrey, Leslie G., 2007. "On the asymptotic validity of a bootstrap method for testing nonnested hypotheses," Economics Letters, Elsevier, vol. 94(3), pages 408-413, March.
    18. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics.
    19. Francisco Cribari-Neto & Sadraque E.F. Lucena, 2015. "Nonnested hypothesis testing in the class of varying dispersion beta regressions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 967-985, May.
    20. Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
    21. Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
    22. James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Paper 573, Economics Department, Queen's University.
    23. Maria-Isabel Ayuda & Antonio Aznar, 2000. "Power in non-nested models: a comparative study," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 483-486.
    24. Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 590-616.
    25. N. Coulibaly & B. Wade Brorsen, 1999. "Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 195-209.

  17. Godfrey, L. G. & Veall, M. R., 1998. "Bootstrap-based critical values for tests of common factor restrictions," Economics Letters, Elsevier, vol. 59(1), pages 1-5, April.

    Cited by:

    1. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
    2. Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

  18. Gerrard, W J & Godfrey, L G, 1998. "Diagnostic Checks for Single-Equation Error-Correction and Autoregressive Distributed Lag Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(2), pages 222-237, March.

    Cited by:

    1. Cazals, Catherine & Florens, Jean-Pierre & Rodriguez, Frank & Soteri, Soterios & Veruete-McKay, Leticia, 2010. "UK Letter Mail Demand: A Content Based Time Series Analysis Using Overlapping Market Survey Statistical Techniques," IDEI Working Papers 616, Institut d'Économie Industrielle (IDEI), Toulouse.
    2. Davis, Joseph H. & Irwin, Douglas A., 2008. "The antebellum U.S. iron industry: Domestic production and foreign competition," Explorations in Economic History, Elsevier, vol. 45(3), pages 254-269, July.
    3. Rasmus Kattai & John Lewis, 2005. "Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members," Bank of Estonia Working Papers 2005-05, Bank of Estonia, revised 10 Oct 2005.
    4. David Giles & Patrick Caragata, 2001. "The learning path of the hidden economy: the tax burden and tax evasion in New Zealand," Applied Economics, Taylor & Francis Journals, vol. 33(14), pages 1857-1867.
    5. Jes??s Crespo-Cuaresma & Bal??zs ??gert & Thomas Reininger, 2004. "Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series 2004-671, William Davidson Institute at the University of Michigan.
    6. Kanas, Angelos & Kouretas, Georgios P., 2005. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 181-201.
    7. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
    8. Veruete-McKay Leticia & Soteri Soterios & Nankervis John C. & Rodriguez Frank, 2011. "Letter Traffic Demand in the UK: An Analysis by Product and Envelope Content Type," Review of Network Economics, De Gruyter, vol. 10(3), pages 1-28, September.
    9. Pesaran, M. H. & Taylor, L.W., 1997. "Diagnostics for IV Regressions," Cambridge Working Papers in Economics 9709, Faculty of Economics, University of Cambridge.
    10. Roseline N. Misati & Esman M. Nyamongo & Anne W. Kamau, 2011. "Interest rate pass‐through in Kenya," International Journal of Development Issues, Emerald Group Publishing Limited, vol. 10(2), pages 170-182, July.
    11. Kim, Hyun Seok & Koo, Won W., 2010. "Factors affecting the carbon allowance market in the US," Energy Policy, Elsevier, vol. 38(4), pages 1879-1884, April.
    12. Claus-Friedrich Laaser & Klaus Schrader, 2005. "Baltic Trade with Europe: Back to the Roots?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 15-37, July.
    13. Bjørn E. Naug, 1999. "Modelling the Demand for Imports and Domestic Output," Discussion Papers 243, Statistics Norway, Research Department.
    14. Ammar Hamad Khalaf, 2011. "Impact of Financial Liberalization on Financial Depth in Iraq," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(2), pages 063-074, December.
    15. Uzair Bhatti & Noralfishah Sulaiman, 2022. "The Impact of Sustainability Practices on Share Performance with Mediation of Board Members Experience: A Study on Malaysian Listed Companies," IJFS, MDPI, vol. 11(1), pages 1-22, December.
    16. Virmantas Kvedaras, 2005. "Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 48-65, July.
    17. Xia, Yan & Susanto, Dwi & Rosson, C. Parr, III, 2007. "Testing the Market Integration in Regional Cantaloupe and Melon Markets between the U.S. and Mexico: An Application of Error Correction Model," 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama 34844, Southern Agricultural Economics Association.
    18. Maja Kadievska-Vojnovic & Danica Unevska, 2007. "Price and Income Elasticities of Export and Import and Economic Growth in the case of the Republic of Macedonia," Working Papers 2007-01, National Bank of the Republic of North Macedonia.
    19. Morten Hansen, 2005. "The Irish Growth Miracle: Can Latvia Replicate?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 3-14, July.

  19. Godfrey, Leslie G., 1998. "Hausman tests for autocorrelation in the presence of lagged dependent variables Some further results," Journal of Econometrics, Elsevier, vol. 82(2), pages 197-207, February.

    Cited by:

    1. José A. Pérez‐Montiel & Carles Manera, 2022. "Is autonomous demand really autonomous in the United States? An asymmetric frequency‐domain Granger causality approach," Metroeconomica, Wiley Blackwell, vol. 73(1), pages 78-92, February.
    2. Wanjoong Kim, 2005. "Analyses Of The Relationship Between Exchange Rates And Employment In Korea," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 30(2), pages 131-153, December.

  20. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.

    Cited by:

    1. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
    2. Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
    3. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche 06-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    4. Godfrey, L. G., 1998. "Tests of non-nested regression models some results on small sample behaviour and the bootstrap," Journal of Econometrics, Elsevier, vol. 84(1), pages 59-74, May.
    5. Eduardo Pontual Ribeiro & Jane H. Leuthold, 1999. "Preference Structures and the Excess Burden of Income Taxes in Brazil," Public Finance Review, , vol. 27(3), pages 243-261, May.
    6. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
    7. Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.
    8. Vanessa Berenguer Rico & Ines Wilms, 2018. "White heteroscedasticty testing after outlier removal," Economics Series Working Papers 853, University of Oxford, Department of Economics.
    9. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," Economics Discussion Paper Series 0721, Economics, The University of Manchester.
    10. David Soave & Lei Sun, 2017. "A generalized Levene's scale test for variance heterogeneity in the presence of sample correlation and group uncertainty," Biometrics, The International Biometric Society, vol. 73(3), pages 960-971, September.
    11. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2013. "Heteroskedasticity testing through a comparison of Wald statistics," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 131-160, August.
    12. Vos, Frederik G.S. & Schiele, Holger & Hüttinger, Lisa, 2016. "Supplier satisfaction: Explanation and out-of-sample prediction," Journal of Business Research, Elsevier, vol. 69(10), pages 4613-4623.
    13. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2011. "Heteroskedasticity Testing Through Comparison of Wald-Type Statistics," GEMF Working Papers 2011-05, GEMF, Faculty of Economics, University of Coimbra.

  21. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-281, May.

    Cited by:

    1. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
    2. Eduardo Fé-Rodríguez & Chris D. Orme, 2009. "On the Sensitivity of Kernel-based Tests of Conditional Moment Restrictions," Economics Discussion Paper Series 0912, Economics, The University of Manchester.
    3. Daniel Heymann, Gabriel Montes-Rojas, 2018. "On model-consistent expectations in macroeconomics," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 64, pages 22-45, January-D.
    4. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," Economics Discussion Paper Series 0721, Economics, The University of Manchester.
    5. L. G. Godfrey & M. R. Veal, 2000. "Alternative approaches to testing by variable addition," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 241-261.

  22. Godfrey, L G, 1994. "Testing for Serial Correlation by Variable Addition in Dynamic Models Estimated by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 550-559, August.

    Cited by:

    1. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2006. "The New Keynesian Phillips Curve: from Sticky Inflation to Sticky Prices," Centre for Growth and Business Cycle Research Discussion Paper Series 78, Economics, The University of Manchester.
    2. Gordon H. Hanson & Antonio Splimbergo, 1999. "Political Economy, Sectoral Shocks, and Border Enforcement," NBER Working Papers 7315, National Bureau of Economic Research, Inc.
    3. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2006. "Observed Inflation Forecasts and the New Keynesian Phillips Curve," Economics Discussion Paper Series 0632, Economics, The University of Manchester.
    4. Chengsi Zhang & Joel Clovis, 2010. "The New Keynesian Phillips Curve of Rational Expectations: A Serial Correlation Extension," Journal of Applied Economics, Taylor & Francis Journals, vol. 13(1), pages 159-179, May.
    5. Emanuele Brancati & Marco Macchiavelli, 2015. "The Role of Dispersed Information in Pricing Default: Evidence from the Great Recession," Finance and Economics Discussion Series 2015-79, Board of Governors of the Federal Reserve System (U.S.).
    6. Gordon H. Hanson & Raymond Robertson & Antonio Spilimbergo, 2002. "Does Border Enforcement Protect U.S. Workers From Illegal Immigration?," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 73-92, February.
    7. Hui Li & Qiaowei Shen & Yakov Bart, 2021. "Dynamic Resource Allocation on Multi-Category Two-Sided Platforms," Management Science, INFORMS, vol. 67(2), pages 984-1003, February.
    8. Zhang, Chengsi & Dang, Chao, 2018. "Is monetary policy forward-looking in China?," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 4-14.
    9. Klaus Grobys, 2015. "Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity," Empirical Economics, Springer, vol. 48(3), pages 1189-1202, May.
    10. Zhang, Chengsi & Murasawa, Yasutomo, 2011. "Output gap measurement and the New Keynesian Phillips curve for China," Economic Modelling, Elsevier, vol. 28(6), pages 2462-2468.
    11. Alfred V. Guender & Yu Xie, 2006. "Is There an Exchange Rate Channel in the Forward-Looking Phillips Curve? A Theoretical and Empirical Investigation," Working Papers in Economics 06/16, University of Canterbury, Department of Economics and Finance.
    12. Chengsi Zhang, 2016. "How Has Globalisation Affected Inflation in China?," The World Economy, Wiley Blackwell, vol. 39(2), pages 301-313, February.
    13. Zhang, Chengsi & Dang, Chao, 2018. "Is Chinese monetary policy forward-looking?," BOFIT Discussion Papers 6/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    14. Brancati, Emanuele & Macchiavelli, Marco, 2019. "The information sensitivity of debt in good and bad times," Journal of Financial Economics, Elsevier, vol. 133(1), pages 99-112.
    15. Lei, Chengyao & Lu, Zhe & Zhang, Chengsi, 2015. "News on inflation and the epidemiology of inflation expectations in China," Economic Systems, Elsevier, vol. 39(4), pages 644-653.
    16. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.

  23. Godfrey, L G & Orme, C D, 1994. "The Sensitivity of Some General Checks to Omitted Variables in the Linear Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(2), pages 489-506, May.
    See citations under working paper version above.
  24. Godfrey, L. G. & Hutton, J. P., 1994. "Discriminating between errors-in- variables/simultaneity and misspecification in linear regression models," Economics Letters, Elsevier, vol. 44(4), pages 359-364, April.

    Cited by:

    1. Robert Bichsel & Jürg Blum, 2002. "The Relationship between Risk and Capital in Swiss commercial Banks: A Panel Study," Working Papers 02.04, Swiss National Bank, Study Center Gerzensee.
    2. Chander KANT, 2008. "Relationship between Different Types of Private Capital Flows to Developing Countries," EcoMod2008 23800056, EcoMod.
    3. Bertrand Rime, 2000. "Bank Capital Behaviour: Empirical Evidence for Switzerland," Working Papers 00.05, Swiss National Bank, Study Center Gerzensee.
    4. Peter Chen & Lane Daley, 1996. "Regulatory Capital, Tax, and Earnings Management Effects on Loan Loss Accruals in the Canadian Banking Industry," Contemporary Accounting Research, John Wiley & Sons, vol. 13(1), pages 91-128, March.
    5. Anne Line Bretteville‐Jensen, 1999. "Gender, heroin consumption and economic behaviour," Health Economics, John Wiley & Sons, Ltd., vol. 8(5), pages 379-389, August.
    6. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    7. Antonio Giuffrida & Hugh Gravelle & Matthew Sutton, "undated". "Efficiency and Administrative Costs in Primary Care," Discussion Papers 99/27, Department of Economics, University of York.
    8. Larcker, David F. & Rusticus, Tjomme O., 2010. "On the use of instrumental variables in accounting research," Journal of Accounting and Economics, Elsevier, vol. 49(3), pages 186-205, April.
    9. Rime, Bertrand, 2001. "Capital requirements and bank behaviour: Empirical evidence for Switzerland," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 789-805, April.
    10. Antonio Giuffrida & Hugh Gravelle & Martin Rowland, 1998. "Performance indicators for primary care management in the NHS," Working Papers 160chedp, Centre for Health Economics, University of York.
    11. Kant, Chander, 2005. "Capital mobility among advanced countries," Journal of Policy Modeling, Elsevier, vol. 27(9), pages 1067-1081, December.
    12. Bretteville-Jensen,A.L. & Biorn,E., 2001. "Estimating addicts' price response of heroin : a panel data approach based on a re-interviewed sample," Memorandum 08/2001, Oslo University, Department of Economics.
    13. Shrieves, Ronald E. & Dahl, Drew, 2003. "Discretionary accounting and the behavior of Japanese banks under financial duress," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1219-1243, July.
    14. Gul, Ferdinand A. & Fung, Simon Yu Kit & Jaggi, Bikki, 2009. "Earnings quality: Some evidence on the role of auditor tenure and auditors' industry expertise," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 265-287, June.
    15. Shrieves, Ronald E. & Dahl, Drew, 2000. "Determinants of international credit allocation: An analysis of US lending by Japanese banks, 1988 to 1994," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 25-52, March.
    16. Abdulai, Awudu & Aubert, Dominique, 2004. "Nonparametric and parametric analysis of calorie consumption in Tanzania," Food Policy, Elsevier, vol. 29(2), pages 113-129, April.
    17. Kiviet, Jan F. & Pleus, Milan, 2017. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Econometrics and Statistics, Elsevier, vol. 2(C), pages 1-21.
    18. Jones, Andrew M., 1996. "Smoking cessation and health: A response," Journal of Health Economics, Elsevier, vol. 15(6), pages 755-759, December.
    19. Matthew Sutton & Peter Lock, 2000. "Regional differences in health care delivery: implications for a national resource allocation formula," Health Economics, John Wiley & Sons, Ltd., vol. 9(6), pages 547-559, September.

  25. Godfrey, L. G. & Orme, C. D., 1991. "Testing for skewness of regression disturbances," Economics Letters, Elsevier, vol. 37(1), pages 31-34, September.

    Cited by:

    1. Asai, M. & McAleer, M.J., 2010. "Alternative Asymmetric Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
    3. Alecos Papadopoulos, 2015. "The half-normal specification for the two-tier stochastic frontier model," Journal of Productivity Analysis, Springer, vol. 43(2), pages 225-230, April.
    4. Kuosmanen, Timo & Fosgerau, Mogens, 2009. "Neoclassical versus frontier production models? Testing for the skewness of regression residuals," MPRA Paper 24208, University Library of Munich, Germany.
    5. Baldauf, Markus & Santos Silva, J.M.C., 2012. "On the use of robust regression in econometrics," Economics Letters, Elsevier, vol. 114(1), pages 124-127.
    6. Francesco Lisi, 2007. "Testing asymmetry in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 687-696.

  26. S. P. Burke & L. G. Godfrey & A. R. Tremayne, 1990. "Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 135-145.

    Cited by:

    1. Mckensi, C.R. & Mcaleer, M. & Gill, L., 1990. "Simple Procedures For Testing Autoregressive Versus Moving Average Errors In Regression Models," Papers 210, Australian National University - Department of Economics.
    2. Andrea Vaona, 2011. "A panel data approach to price-value correlations," Working Papers 14/2011, University of Verona, Department of Economics.
    3. James F. Ragan & Bernt Bratsberg, 2000. "Un‐COLA: Why Have Cost‐of‐Living Clauses Disappeared from Union Contracts and Will They Return?," Southern Economic Journal, John Wiley & Sons, vol. 67(2), pages 304-324, October.
    4. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    5. Baltagi, Badi H. & Li, Qi, 1995. "Testing AR(1) against MA(1) disturbances in an error component model," Journal of Econometrics, Elsevier, vol. 68(1), pages 133-151, July.
    6. Silvapulle, Paramsothy & King, Maxwell L., 1993. "Nonnested testing for autocorrelation in the linear regression model," Journal of Econometrics, Elsevier, vol. 58(3), pages 295-314, August.

  27. Burke, S. P. & Godfrey, L. G., 1989. "Some results on the finite sample significance levels of instrumental variable tests for non-nested models," Economics Letters, Elsevier, vol. 31(4), pages 343-347, December.

    Cited by:

    1. Eduardo Pontual Ribeiro & Jane H. Leuthold, 1999. "Preference Structures and the Excess Burden of Income Taxes in Brazil," Public Finance Review, , vol. 27(3), pages 243-261, May.

  28. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.

    Cited by:

    1. George Kapetanios & Melvyn Weeks, 2003. "Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests," Working Papers 490, Queen Mary University of London, School of Economics and Finance.
    2. Chen, Victor Zitian & Li, Jing & Shapiro, Daniel M., 2012. "International reverse spillover effects on parent firms: Evidences from emerging-market MNEs in developed markets," European Management Journal, Elsevier, vol. 30(3), pages 204-218.
    3. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
    4. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    5. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Paper 707, Economics Department, Queen's University.
    6. James G. MacKinnon & Russell Davidson, 2001. "Artificial Regressions," Working Paper 1038, Economics Department, Queen's University.
    7. Oczkowski, Edward A., 1994. "A Hedonic Price Function For Australian Premium Table Wine," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 38(1), pages 1-18, April.
    8. Oczkowski, Edward, 2021. "Estimating supply functions for wine attributes: a two-stage hedonic approach," Working Papers 321856, American Association of Wine Economists.
    9. Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
    10. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May.
    11. Marzio Galeotti & Alessandro Lanza, 2000. "Desperately Seeking Environmental Kuznets," Development Working Papers 137, Centro Studi Luca d'Agliano, University of Milano.
    12. Barten, A.P. & McAleer, M., 1991. "Comparing the Empirical Performance of Alternative Demand Systems," Discussion Paper 1991-2, Tilburg University, Center for Economic Research.
    13. McAleer, Michael, 1994. "Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-370, December.
    14. Davidson, Russell & MacKinnon, James G., 1987. "Double-Length Artificial Regressions," Queen's Institute for Economic Research Discussion Papers 275209, Queen's University - Department of Economics.
    15. Baltagi, Badi H., 1997. "Testing linear and loglinear error components regressions against Box-Cox alternatives," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 63-68, April.
    16. Zhang, Zhaoyong & Sato, Kiyotaka & McAleer, Michael, 2008. "Is Greater China a currency union?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 319-327.
    17. Badi H. Baltagi, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annals of Economics and Statistics, GENES, issue 55-56, pages 277-297.
    18. Les Godfrey & Chris Orme, "undated". "The Sensitivity of some General Checks to Omitted Variables in the Linear Model," Discussion Papers 92/3, Department of Economics, University of York.
    19. T. Randolph Beard & George Ford, 2005. "Are Unbundled and Self-supplied Telecommunications Switching Substitutes? An Empirical Study," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 12(2), pages 163-181.
    20. Gravelle, Hugh & Wildman, John & Sutton, Matthew, 2002. "Income, income inequality and health: what can we learn from aggregate data?," Social Science & Medicine, Elsevier, vol. 54(4), pages 577-589, February.
    21. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    22. Reis, Hugo J. & Santos Silva, J.M.C., 2006. "Hedonic prices indexes for new passenger cars in Portugal (1997-2001)," Economic Modelling, Elsevier, vol. 23(6), pages 890-908, December.
    23. Barten, Anton P. & McAleer, Michael, 1997. "Comparaison de la performance du point de vue empirique de systèmes de demandes alternatifs," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 27-45, mars-juin.
    24. Zhou, Yanfei, 2003. "Precautionary saving and earnings uncertainty in Japan: A household-level analysis," Journal of the Japanese and International Economies, Elsevier, vol. 17(2), pages 192-212, June.
    25. Alfons Oude Lansink & Geert Thijssen, 1998. "Testing among functional forms: an extension of the Generalized Box-Cox formulation," Applied Economics, Taylor & Francis Journals, vol. 30(8), pages 1001-1010.
    26. Lim, Christine, 1997. "The functional specification of international tourism demand models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 535-543.
    27. Asli Demirgüč-Kunt, 1991. "On the valuation of deposit institutions," Working Papers (Old Series) 9104, Federal Reserve Bank of Cleveland.
    28. Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    29. Hayat, Zafar & Balli, Faruk & Rehman, Muhammad, 2017. "The relevance and relative robustness of sources of inflation bias in Pakistan," Economic Modelling, Elsevier, vol. 63(C), pages 283-303.
    30. Beard, T. Randolph & Ford, George S. & Koutsky, Thomas M., 2005. "Mandated access and the make-or-buy decision: the case of local telecommunications competition," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 28-47, February.
    31. Z. L. Yang Y. K. Tse, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Australasian Meetings 302, Econometric Society.
    32. Ford, George S., 2007. "Does a municipal electric's supply of communications crowd out private communications investment? An empirical study," Energy Economics, Elsevier, vol. 29(3), pages 467-478, May.
    33. Adane, Tuffa Debela, 2009. "Impact of Perennial Cash Cropping On Food Crop Production and Productivity," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 18(1), pages 116-116, December.
    34. Alan Shiell & Catherine Pettipher & Norma Raynes & Ken Wright, 1993. "A cost function analysis of residential services for adults with a learning disability," Health Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 247-256, October.
    35. James G. MacKinnon, 1983. "Model Specification Tests Against Non-Nested Alternatives," Working Paper 573, Economics Department, Queen's University.
    36. Sharma, Kishor & Oczkowski, Edward & Jayasuriya, Sisira, 2001. "Liberalization, export incentives, and trade intensity: new evidence from Nepalese manufacturing industries," Journal of Asian Economics, Elsevier, vol. 12(1), pages 123-135.
    37. Matthew Sutton & Christine Godfrey, 1995. "A grouped data regression approach to estimating economic and social influences on individual drinking behaviour," Health Economics, John Wiley & Sons, Ltd., vol. 4(3), pages 237-247, May.
    38. Godfrey, L.G. & Santos Silva, J.M.C., 2007. "A note on variable addition tests for linear and log-linear models," Economics Letters, Elsevier, vol. 95(3), pages 422-427, June.

  29. Godfrey, Leslie G, 1987. "Discriminating between Autocorrelation and Misspecification in," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 128-134, February.

    Cited by:

    1. Shabbir Ahmad & Abul Shamsuddin & Malcolm Treadgold, 2012. "A monetary analysis of foreign exchange market disequilibrium in Fiji," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 5(1), pages 66-81.
    2. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
    3. Gonzalez, Jorge & Spencer, Roger & Walz, Daniel, 1999. "The information in the Mexican term structure of interest rates: capital market implications," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 149-161, April.
    4. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    5. Wooldridge, J.M., 1990. "Regression-Based Inference In Linear Time Series Models With Incomplete Dynamics," Working papers 550, Massachusetts Institute of Technology (MIT), Department of Economics.
    6. Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
    7. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    8. Baltagi, Badi H. & Li, Qi, 1995. "Testing AR(1) against MA(1) disturbances in an error component model," Journal of Econometrics, Elsevier, vol. 68(1), pages 133-151, July.
    9. Andrea Vaona, 2008. "Inflation persistence, structural breaks and omitted variables: a critical view," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0802, USI Università della Svizzera italiana.

  30. Breusch, T S & Godfrey, L G, 1986. "Data Transformation Tests," Economic Journal, Royal Economic Society, vol. 96(380a), pages 47-58, Supplemen.

    Cited by:

    1. Tsui, Wai Hong Kan & Ozer Balli, Hatice & Gilbey, Andrew & Gow, Hamish, 2014. "Forecasting of Hong Kong airport's passenger throughput," Tourism Management, Elsevier, vol. 42(C), pages 62-76.
    2. Anton Vaskovskyi, 2021. "Analysis of the Status Quo Behavioural Concept During the Global Economic Crisis," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(2), pages 133-155.
    3. Richard Wamalwa Wanzala & Lawrence Ogechukwu Obokoh, 2024. "Sustainability Implications of Commodity Price Shocks and Commodity Dependence in Selected Sub-Saharan Countries," Sustainability, MDPI, vol. 16(20), pages 1-26, October.
    4. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Paper 687, Economics Department, Queen's University.
    5. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    6. Robert F. Mulligan, 2005. "The Austrian Business Cycle: a Vector Error-correction Model with Commercial and Industrial Loans," Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 21(Fall 2005), pages 59-91.
    7. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
    8. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    9. Luboš Smrčka & Markéta Arltová, 2014. "Debt in Relation to the Standard of Living Enjoyed by the Population of Developed Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(1), pages 84-107.
    10. Richard Wamalwa Wanzala & Lawrence Ogechukwu Obokoh, 2024. "Savings and Sustainable Economic Growth Nexus: A South African Perspective," Sustainability, MDPI, vol. 16(20), pages 1-26, October.
    11. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    12. Josef Taušer & Markéta Arltová & Pavel Žamberský, 2015. "Czech Exports and German GDP: A Closer Look," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 17-37.
    13. Laura Spierdijk, 2023. "Assessing the consistency of the fixed-effects estimator: a regression-based Wald test," Empirical Economics, Springer, vol. 64(4), pages 1599-1630, April.
    14. Adián R. Pagan & Hernán Sabau, 1992. "Consistency tests for heteroskedastic and risk models," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(1), pages 3-30.

  31. Davidson, Russell & Godfrey, Leslie & MacKinnon, James G, 1985. "A Simplified Version of the Differencing Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 639-647, October.

    Cited by:

    1. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper 40695, University Library of Munich, Germany.
    2. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Paper 687, Economics Department, Queen's University.
    3. Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Bank of Finland Research Discussion Papers 27/2009, Bank of Finland.
    4. Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory," Cahiers de recherche 14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory," School of Economics and Public Policy Working Papers 2016-01, University of Adelaide, School of Economics and Public Policy.
    6. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    7. Sayera Younus, 2010. "Exchange Market Pressure and Monetary Policy," Working Papers id:2389, eSocialSciences.
    8. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
    9. Laura Spierdijk, 2023. "Assessing the consistency of the fixed-effects estimator: a regression-based Wald test," Empirical Economics, Springer, vol. 64(4), pages 1599-1630, April.

  32. Godfrey, L G, 1984. "On the Uses of Misspecification Checks and Tests of Non-Nested Hypotheses in Emperical Econometrics," Economic Journal, Royal Economic Society, vol. 94(376a), pages 69-81, Supplemen.

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    1. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
    2. Andrews, Martyn & Harrison, Alan, 1998. "Testing for Efficient Contracts in Unionized Labour Markets," Bulletin of Economic Research, Wiley Blackwell, vol. 50(3), pages 171-200, July.
    3. Robert Anderton & Ray Barrell, 1995. "The ERM and structural change in European labour markets: A study of 10 countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(1), pages 47-66, March.
    4. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    5. Masahiro Kato & Hikaru Kawarazaki, 2019. "Model Specification Test with Unlabeled Data: Approach from Covariate Shift," Papers 1911.00688, arXiv.org, revised Feb 2020.
    6. Christos Koulovatianos & Carsten Schroeder & Ulrich Schmidt, 2018. "Do Demographics Prevent Consumption Aggregates From Refflecting Micro-Level Preferences?," DEM Discussion Paper Series 18-12, Department of Economics at the University of Luxembourg.
    7. Robert Anderton, 1997. "Did the underlying behaviour of inflation change in the 1980s? A study of 17 countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 22-38, March.

  33. Godfrey, Leslie G, 1983. "Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares," Econometrica, Econometric Society, vol. 51(2), pages 355-365, March.

    Cited by:

    1. Davidson, Russell & MacKinnon, James G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," Queen's Institute for Economic Research Discussion Papers 273388, Queen's University - Department of Economics.
    2. David E. A. Giles & Peter Hampton, 1985. "An Engel Curve Analysis of Household Expenditure in New Zealand," The Economic Record, The Economic Society of Australia, vol. 61(1), pages 450-462, March.
    3. DUGUET Emmanuel, 2004. "Innovation height, spillovers and TFP growth at the firm level: Evidence from French manufacturing," Development and Comp Systems 0411017, University Library of Munich, Germany.
    4. Bratsiotis, George J. & Robinson, Wayne A., 2016. "Unit Total Costs: An Alternative Marginal Cost Proxy For Inflation Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1826-1849, October.
    5. Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
    6. Nicolas DEBARSY & Cem ERTUR, 2016. "Interaction matrix selection in spatial econometrics with an application to growth theory," LEO Working Papers / DR LEO 2172, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    7. Debarsy, Nicolas & Ertur, Cem, 2019. "Interaction matrix selection in spatial autoregressive models with an application to growth theory," Regional Science and Urban Economics, Elsevier, vol. 75(C), pages 49-69.
    8. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    9. Naorayex K. Dastoor & Gordon Fisher, 1987. "On Point-Optimal Cox Tests," Working Paper 678, Economics Department, Queen's University.
    10. Fingleton, Bernard & Longhi, Simonetta, 2011. "The effects of agglomeration on wages: evidence from the micro-level," SIRE Discussion Papers 2011-35, Scottish Institute for Research in Economics (SIRE).
    11. Fingleton, Bernard, 2008. "Competing models of global dynamics: Evidence from panel models with spatially correlated error components," Economic Modelling, Elsevier, vol. 25(3), pages 542-558, May.
    12. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
    13. Bernard Fingleton & Silvia Palombi, 2016. "Bootstrap J -Test for Panel Data Models with Spatially Dependent Error Components, a Spatial Lag and Additional Endogenous Variables," Spatial Economic Analysis, Taylor & Francis Journals, vol. 11(1), pages 7-26, March.
    14. Harry Kelejian, 2008. "A spatial J-test for model specification against a single or a set of non-nested alternatives," Letters in Spatial and Resource Sciences, Springer, vol. 1(1), pages 3-11, April.
    15. Chan, Kam C. & Seow, Gim S., 1996. "The association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP," Journal of Accounting and Economics, Elsevier, vol. 21(1), pages 139-158, February.
    16. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    17. John F. Helliwell & Alan Chung, 1990. "Macroeconomic Convergence: International Transmission of Growth and Technical Progress," NBER Working Papers 3264, National Bureau of Economic Research, Inc.
    18. Campa, José Manuel & González Mìnguez, Jose Manuel, 2004. "Differences in Exchange Rate Pass-Through in the Euro Area," CEPR Discussion Papers 4389, C.E.P.R. Discussion Papers.
    19. Kelejian, Harry H. & Piras, Gianfranco, 2011. "An extension of Kelejian's J-test for non-nested spatial models," Regional Science and Urban Economics, Elsevier, vol. 41(3), pages 281-292, May.
    20. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    21. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
    22. Thomas Barnebeck Andersen & Carl-Johan Dalgaard, 2006. "Cross-Border Flows of People, Technology Diffusion and Aggregate Productivity," Discussion Papers 06-04, University of Copenhagen. Department of Economics.
    23. Bouman, J., 1984. "Testing Nonnested Linear Hypotheses I : Reduction By Invariance Considerations," Econometric Institute Archives 272284, Erasmus University Rotterdam.
    24. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers Working Paper 2013-03, Regional Research Institute, West Virginia University.
    25. Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
    26. Harry H. Kelejian & Gianfranco Piras, 2016. "A J test for dynamic panel model with fixed effects, and nonparametric spatial and time dependence," Empirical Economics, Springer, vol. 51(4), pages 1581-1605, December.
    27. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

  34. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.

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    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
    2. M.A.Hossain, 2001. "On Export-Led Growth: Is Manufacturing Exports a New Engine of Growth for Bangladesh?," Discussion Papers Series 297, School of Economics, University of Queensland, Australia.
    3. Davidson, Russell & MacKinnon, James G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," Queen's Institute for Economic Research Discussion Papers 273388, Queen's University - Department of Economics.
    4. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(3), pages 361-376, June.
    5. Lyon, Charles C. & Thompson, Gary D., 1991. "Model Selection With Temporal And Spatial Aggregation: Alternative Marketing Margin Models," Staff Papers 13253, University of Minnesota, Department of Applied Economics.
    6. Yanqin Fan & Qi Li, 1995. "Bootstrapping J-type tests for non-nested regression models," Economics Letters, Elsevier, vol. 48(2), pages 107-112, May.
    7. Wohlgenant, Michael K. & Mullen, John D., 1987. "Modeling The Farm-Retail Price Spread For Beef," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(2), pages 1-7, December.
    8. TengTeng Xu, 2012. "The Role of Credit in International Business Cycles," Staff Working Papers 12-36, Bank of Canada.
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    1. Frank Windmeijer, 2018. "Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models," Bristol Economics Discussion Papers 18/696, School of Economics, University of Bristol, UK.
    2. Patrick Minford & Michael Wickens & Yongdeng Xu, 2019. "Testing Part of a DSGE Model by Indirect Inference," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 178-194, February.
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    5. Windmeijer, Frank, 2024. "Testing underidentification in linear models, with applications to dynamic panel and asset pricing models," Journal of Econometrics, Elsevier, vol. 240(2).

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    12. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
    13. Bollerslev, Tim, 2023. "Reprint of: Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Elsevier, vol. 234(S), pages 25-37.

  38. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October.

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    2. Tao, Ran & Su, Chi-Wei & Naqvi, Bushra & Rizvi, Syed Kumail Abbas, 2022. "Can Fintech development pave the way for a transition towards low-carbon economy: A global perspective," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    3. Tadashi Kikuchi, 2014. "Vietnamese Inter – regional labor migration: system approach to the modeling 1989, 1999, 2009," EcoMod2014 6998, EcoMod.
    4. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
    5. Anil K. Bera & Yannis Bilias, 2024. "Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History," Papers 2406.19956, arXiv.org, revised Oct 2024.
    6. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002. "Instrumental variables and GMM: Estimation and testing," North American Stata Users' Group Meetings 2003 05, Stata Users Group.
    7. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.
    8. Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    9. Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
    10. Lansford, Notie H., Jr. & Jones, Lonnie L., 1995. "Marginal Price Of Lake Recreation And Aesthetics: An Hedonic Approach," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 27(1), pages 1-12, July.
    11. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
    12. Russell, Bill & Chowdhury, Rosen Azad, 2013. "Estimating United States Phillips curves with expectations consistent with the statistical process of inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 24-38.
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    25. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
    26. Lansford, Notie H., Jr. & Jones, Lonnie L., 1995. "Recreational And Aesthetic Value Of Water Using Hedonic Price Analysis," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 20(2), pages 1-15, December.
    27. Kendix, Michael & Walls, W.D., 2010. "Oil industry consolidation and refined product prices: Evidence from US wholesale gasoline terminals," Energy Policy, Elsevier, vol. 38(7), pages 3498-3507, July.
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    29. SJ, Balaji & Pal, Suresh, 2021. "Agricultural Productivity, Pay-Gap, and Non-Farm Development: Contribution to Structural Transformation in India," 2021 Conference, August 17-31, 2021, Virtual 315213, International Association of Agricultural Economists.
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    5. Aurelio Mattei, 1981. "Un modèle économétrique pour le Canton du Valais," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 117(IV), pages 605-616, December.
    6. Fumiya Akashi & Hiroaki Odashima & Masanobu Taniguchi & Anna Clara Monti, 2018. "A New Look at Portmanteau Tests," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 121-137, February.
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Books

  1. Godfrey,L. G., 1991. "Misspecification Tests in Econometrics," Cambridge Books, Cambridge University Press, number 9780521424592, November.

    Cited by:

    1. Lubomir Lizal, 1999. "Does a Soft Macroeconomic Environment Induce Restructuring on the Microeconomic Level during the Transition Period? Evidence from Investment Behavior of Czech Enterprises," William Davidson Institute Working Papers Series 235, William Davidson Institute at the University of Michigan.
    2. Piper, Alan T., 2014. "The Benefits, Challenges and Insights of a Dynamic Panel assessment of Life Satisfaction," MPRA Paper 59556, University Library of Munich, Germany.
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    4. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    5. Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 45-61.
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