Testing for First Order Serial Correlation in Temporally Aggregated Regression Models

Helson Braga and William Tyler

No 14, Discussion Papers from Instituto de Pesquisa Econômica Aplicada - IPEA

Abstract: Thls paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985) using the likelihood conditional on the observation times. The Kalman Filter approach is preferable because the test statistic for first order serial correlation in t.emporally aggregated regression models can be obta.ined as an extension of the previous case..

Pages: 32 pages
Date: 2015-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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