Details about Leslie George Godfrey

Access statistics for papers by Leslie George Godfrey.

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Short-id: pgo313

Working Papers

2010

1. A robust test for error cross-section correlation in panel models
   Discussion Papers, Department of Economics, University of York View citations (1)

1990

2. MODIFIED RAINBOW TESTS
   Working Papers, Australian National University - Department of Economics

Undated

3. On the Behaviour of Conditional Moment Tests in the Presence of Unconsidered Alternatives after Estimation by Maximum Likelihood or Extremum Methods
   Discussion Papers, Department of Economics, University of York
4. The Sensitivity of some General Checks to Omitted Variables in the Linear Model
   Discussion Papers, Department of Economics, University of York
   See also Journal Article 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 (1994) View citations (17) (1994)

Journal Articles

2012

1. Bootstrap HAC Tests for Ordinary Least Squares Regression
   Oxford Bulletin of Economics and Statistics, 2012, 74, (6), 903-922 View citations (3)

2011

2. Robust Non‐nested Testing for Ordinary Least Squares Regression when Some of the Regressors are Lagged Dependent Variables
   Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 651-668 View citations (2)

2008

3. Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models*
   Oxford Bulletin of Economics and Statistics, 2008, 70, (3), 415-429 View citations (2)

2007

4. A note on variable addition tests for linear and log-linear models
   Economics Letters, 2007, 95, (3), 422-427
5. Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
   Computational Statistics & Data Analysis, 2007, 51, (7), 3282-3295 View citations (5)
6. Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
   Journal of Time Series Analysis, 2007, 28, (3), 434-453 View citations (5)
7. On the asymptotic validity of a bootstrap method for testing nonnested hypotheses
   Economics Letters, 2007, 94, (3), 408-413

2006

8. Simulation-based tests for heteroskedasticity in linear regression models: Some further results
   Econometrics Journal, 2006, 9, (1), 76-97 View citations (8)
9. Tests for regression models with heteroskedasticity of unknown form
   Computational Statistics & Data Analysis, 2006, 50, (10), 2715-2733 View citations (21)

2005

10. Bootstrap Tests of Nonnested Hypotheses: Some Further Results
    Econometric Reviews, 2005, 23, (4), 325-340
11. Controlling the Overall Significance Level of a Battery of Least Squares Diagnostic Tests
    Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 263-279 View citations (8)
12. The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
    Computational Statistics & Data Analysis, 2005, 49, (2), 377-395 View citations (30)

2004

13. Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients
    Economics Letters, 2004, 82, (2), 281-287 View citations (22)

2002

14. Using bootstrap methods to obtain nonnormality robust Chow prediction tests
    Economics Letters, 2002, 76, (3), 429-436 View citations (1)

2000

15. Alternative approaches to testing by variable addition
    Econometric Reviews, 2000, 19, (2), 241-261 View citations (3)
16. Controlling the significance levels of prediction error tests for linear regression models
    Econometrics Journal, 2000, 3, (1), 66-83 View citations (11)

1999

17. Instrument Relevance in Multivariate Linear Models
    The Review of Economics and Statistics, 1999, 81, (3), 550-552 View citations (45)
18. The robustness, reliabiligy and power of heteroskedasticity tests
    Econometric Reviews, 1999, 18, (2), 169-194 View citations (7)

1998

19. Bootstrap-based critical values for tests of common factor restrictions
    Economics Letters, 1998, 59, (1), 1-5 View citations (2)
20. Diagnostic Checks for Single-Equation Error-Correction and Autoregressive Distributed Lag Models
    The Manchester School of Economic & Social Studies, 1998, 66, (2), 222-37 View citations (22)
21. Hausman tests for autocorrelation in the presence of lagged dependent variables Some further results
    Journal of Econometrics, 1998, 82, (2), 197-207 View citations (2)
22. Tests of non-nested regression models some results on small sample behaviour and the bootstrap
    Journal of Econometrics, 1998, 84, (1), 59-74 View citations (27)

1996

23. On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
    International Economic Review, 1996, 37, (2), 263-81 View citations (6)
24. Some results on the Glejser and Koenker tests for heteroskedasticity
    Journal of Econometrics, 1996, 72, (1-2), 275-299 View citations (16)

1994

25. Discriminating between errors-in- variables/simultaneity and misspecification in linear regression models
    Economics Letters, 1994, 44, (4), 359-364 View citations (19)
26. Testing for Serial Correlation by Variable Addition in Dynamic Models Estimated by Instrumental Variables
    The Review of Economics and Statistics, 1994, 76, (3), 550-59 View citations (23)
27. The Sensitivity of Some General Checks to Omitted Variables in the Linear Model
    International Economic Review, 1994, 35, (2), 489-506 View citations (17)
    See also Working Paper The Sensitivity of some General Checks to Omitted Variables in the Linear Model, Discussion Papers

1991

28. Testing for skewness of regression disturbances
    Economics Letters, 1991, 37, (1), 31-34 View citations (10)

1990

29. Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
    The Review of Economic Studies, 1990, 57, (1), 135-145 View citations (6)

1989

30. Some results on the finite sample significance levels of instrumental variable tests for non-nested models
    Economics Letters, 1989, 31, (4), 343-347 View citations (1)

1988

31. Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models
    The Review of Economics and Statistics, 1988, 70, (3), 492-503 View citations (44)

1987

32. Discriminating between Autocorrelation and Misspecification in
    The Review of Economics and Statistics, 1987, 69, (1), 128-34 View citations (9)

1986

33. Data Transformation Tests
    Economic Journal, 1986, 96, (380a), 47-58 View citations (19)

1985

34. A Simplified Version of the Differencing Test
    International Economic Review, 1985, 26, (3), 639-47 View citations (15)

1984

35. On the Uses of Misspecification Checks and Tests of Non-Nested Hypotheses in Emperical Econometrics
    Economic Journal, 1984, 94, (376a), 69-81 View citations (7)

1983

36. Testing Non-Nested Models after Estimation by Instrumental Variables or Least Squares
    Econometrica, 1983, 51, (2), 355-65 View citations (39)
37. Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
    Journal of Econometrics, 1983, 21, (1), 133-154 View citations (70)

1982

38. A note on the estimation of dynamic regression models with autoregressive errors by means of the Cochrane-Orcutt procedure
    Economics Letters, 1982, 10, (1-2), 81-85
39. A simple derivation of the limited information maximum likelihood estimator
    Economics Letters, 1982, 10, (3-4), 277-283 View citations (6)

1981

40. On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis
    Econometrica, 1981, 49, (6), 1443-55 View citations (13)
41. Testing Linear and Log-Linear Regressions for Functional Form
    The Review of Economic Studies, 1981, 48, (3), 487-496 View citations (41)

1978

42. A Note on the Use of Durbin's h Test When the Equation is Estimated by Instrumental Variables
    Econometrica, 1978, 46, (1), 225-28 View citations (3)
43. Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables
    Econometrica, 1978, 46, (6), 1293-1301 View citations (546)
44. Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables
    Econometrica, 1978, 46, (6), 1303-10 View citations (282)
45. Testing for multiplicative heteroskedasticity
    Journal of Econometrics, 1978, 8, (2), 227-236 View citations (87)

1976

46. Testing for Serial Correlation in Dynamic Simultaneous Equation Models
    Econometrica, 1976, 44, (5), 1077-84 View citations (11)

1974

47. A Further Note on the Treatment of Serial Correlation
    Canadian Journal of Economics, 1974, 7, (4), 673-76

1973

48. A Note on the Treatment of Serial Correlation
    Canadian Journal of Economics, 1973, 6, (4), 567-73
49. Earnings Changes in the United Kingdom, 1954-70: Excess Labour Supply, Expected Inflation and Union Influence
    Oxford Bulletin of Economics and Statistics, 1973, 35, (3), 197-216 View citations (2)

Books

1991

1. Misspecification Tests in Econometrics
   Cambridge Books, Cambridge University Press View citations (16)