Joint Tests for Regularity and Autocorrelation in Allocation Systems

Philippe Deschamps

Journal of Applied Econometrics, 1993, vol. 8, issue 2, 195-211

Abstract: In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies autocorrelation of an arbitrary given order. We also derive generic expressions for the maximum likelihood estimation of the models under six possible combinations of constraints. The methodology is illustrated with the Rotterdam model and the differential AIDS model, both estimated from the same quarterly British data. Copyright 1993 by John Wiley & Sons, Ltd.

Date: 1993
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Related works:
Working Paper: JOINT TESTS FOR REGULARITY AND AUTOCORRELATION IN ALLOCATION SYSTEMS (1990)
Working Paper: Joint Tests for Regularity and Autocorrelation in Allocation Systems (1990)
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