This paper proposes and applies a test procedure for misspecification in a dynamic regression model with moving average errors. The test statistics are based on testing for unit roots in the moving average process when the model is deliberately overdifferenced.
| Additional Metadata | |
|---|---|
| , | |
| doi.org/10.1080/07474939508800313, hdl.handle.net/1765/2083 | |
| Econometric Reviews | |
| Organisation | Erasmus School of Economics |
|
Franses, P. H. (1995). A differencing test. Econometric Reviews, 183–193. doi:10.1080/07474939508800313 |
|
