A Differencing Specification Test for Models with Serially Correlated Errors

Paul Boothe and James MacKinnon ()

Working Papers from Queen's University, Department of Economics

Abstract: We develop a version of the differencing specification test which may be used to test models with serially correlated errors. The test is worked out for the general case, and in more detail for the commonly-encountered case of models with AR(1) errors. As an example, the test is applied to a well-known model of exchange rate determination.

Keywords: specification test; serial correlation; differencing test (search for similar items in EconPapers)
Date: Written

Published in Review of Economics and Statistics, 68, 1986

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Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:621

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