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A General Approach to Serial Correlation

Published online by Cambridge University Press:  18 October 2010

C. Gourieroux ,
A. Monfort  and
A. Trognon
C. Gourieroux
Affiliation:
Université de Lille et CEPREMAP, Panis
A. Monfort
Affiliation:
Unité de Recherche, INSEE, Paris
A. Trognon
Affiliation:
ENSAE, Paris
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Abstract

In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier models, etc. In this context, it is shown that the score test can be written explicitly and that the statistic obtained is a generalization of that of Durbin and Watson; moreover, the maximum likelihood estimation procedure is shown to be robust with respect to serial correlation.

Type
Research Article
Information
Econometric Theory , Volume 1 , Issue 3 , December 1985 , pp. 315 - 340
Copyright
Copyright © Cambridge University Press 1985 

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References

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