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Testing Serial Correlation in Semiparametric Time Series Model

Author

Listed:
  • Li, D.
  • Stengos, T.

Abstract

In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

Suggested Citation

  • Li, D. & Stengos, T., 1999. "Testing Serial Correlation in Semiparametric Time Series Model," Working Papers 1999-4, University of Guelph, Department of Economics and Finance.
    • Handle: RePEc:gue:guelph:1999-4
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    References listed on IDEAS

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    1. Nelson, Charles R & Peck, Stephen C, 1985. "The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 179-187, June.
    2. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
    3. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
    4. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    5. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    6. Andre Plourde & David Ryan, 1985. "On the Use of Double-Log Forms in Energy Demand Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 105-113.
    7. Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
    8. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
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    Citations

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    Cited by:

    1. Daniel L. Millimet & John A. List & Thanasis Stengos, 2003. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1038-1047, November.
    2. Poudel, Biswo N. & Paudel, Krishna P. & Bhattarai, Keshav, 2009. "Searching for an Environmental Kuznets Curve in Carbon Dioxide Pollutant in Latin American Countries," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 41(1), pages 1-15, April.
    3. He, Jie & Richard, Patrick, 2010. "Environmental Kuznets curve for CO2 in Canada," Ecological Economics, Elsevier, vol. 69(5), pages 1083-1093, March.
    4. Tianyong Zhang & Demei Yuan & Jiali Ma & Xuemei Hu, 2017. "Assessing white noise assumption with semi-parametric additive partial linear models," Statistical Papers, Springer, vol. 58(2), pages 417-431, June.
    5. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    6. Polemis, Michael L. & Stengos, Thanasis, 2015. "Does market structure affect labour productivity and wages? Evidence from a smooth coefficient semiparametric panel model," Economics Letters, Elsevier, vol. 137(C), pages 182-186.
    7. 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.
    8. Neophyta Empora & Theofanis Mamuneas, 2011. "The Effect of Emissions on U.S. State Total Factor Productivity Growth," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 3(2), pages 149-172, October.
    9. Neophyta Empora, 2017. "Air pollution spillovers and U.S. state productivity growth," University of Cyprus Working Papers in Economics 06-2017, University of Cyprus Department of Economics.

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    More about this item

    Keywords

    TESTS ; ECONOMIC MODELS ; TIME SERIES;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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