Diagnostic checks for single-equation error-correction and autoregressive distributed lag models

Research output: Contribution to journalArticlepeer-review

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Diagnostic checks for single-equation error-correction and autoregressive distributed lag models. / Gerrard, W J; Godfrey, L G.

In: Manchester school, Vol. 66, No. 2, 03.1998, p. 222-237.

Research output: Contribution to journalArticlepeer-review

Harvard

Gerrard, WJ & Godfrey, LG 1998, 'Diagnostic checks for single-equation error-correction and autoregressive distributed lag models', Manchester school, vol. 66, no. 2, pp. 222-237.

APA

Gerrard, W. J., & Godfrey, L. G. (1998). Diagnostic checks for single-equation error-correction and autoregressive distributed lag models. Manchester school, 66(2), 222-237.

Vancouver

Gerrard WJ, Godfrey LG. Diagnostic checks for single-equation error-correction and autoregressive distributed lag models. Manchester school. 1998 Mar;66(2):222-237.

Author

Gerrard, W J ; Godfrey, L G. / Diagnostic checks for single-equation error-correction and autoregressive distributed lag models. In: Manchester school. 1998 ; Vol. 66, No. 2. pp. 222-237.

Bibtex - Download

@article{58abcd3de00d4c4d9c720d625432b208,
title = "Diagnostic checks for single-equation error-correction and autoregressive distributed lag models",
abstract = "Single-equation error-correction models (ECMs) are widely used in the analysis of cointegrated variables. It is important to check the specification of ECMs using diagnostic tests. Monte Carlo evidence is reported that shows that the finite-sample significance levels of such tests can be sensitive to the method used to estimate long-run coefficients that yield the error-correction term of the ECM. Estimates of long-run coefficients based upon autoregressive distributed lag (ADL) models are recommended. The applicability of diagnostic checks to ADL models for integrated variables is examined. An indirect approach to obtaining asymptotically valid checks is proposed.",
keywords = "COVARIANCE-MATRIX ESTIMATOR, EQUILIBRIUM RELATIONSHIPS, LONG-RUN, HETEROSKEDASTICITY, HETEROSCEDASTICITY",
author = "Gerrard, {W J} and Godfrey, {L G}",
year = "1998",
month = mar,
language = "English",
volume = "66",
pages = "222--237",
journal = "Manchester school",
issn = "1463-6786",
publisher = "Wiley-Blackwell",
number = "2",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Diagnostic checks for single-equation error-correction and autoregressive distributed lag models

AU - Gerrard, W J

AU - Godfrey, L G

PY - 1998/3

Y1 - 1998/3

N2 - Single-equation error-correction models (ECMs) are widely used in the analysis of cointegrated variables. It is important to check the specification of ECMs using diagnostic tests. Monte Carlo evidence is reported that shows that the finite-sample significance levels of such tests can be sensitive to the method used to estimate long-run coefficients that yield the error-correction term of the ECM. Estimates of long-run coefficients based upon autoregressive distributed lag (ADL) models are recommended. The applicability of diagnostic checks to ADL models for integrated variables is examined. An indirect approach to obtaining asymptotically valid checks is proposed.

AB - Single-equation error-correction models (ECMs) are widely used in the analysis of cointegrated variables. It is important to check the specification of ECMs using diagnostic tests. Monte Carlo evidence is reported that shows that the finite-sample significance levels of such tests can be sensitive to the method used to estimate long-run coefficients that yield the error-correction term of the ECM. Estimates of long-run coefficients based upon autoregressive distributed lag (ADL) models are recommended. The applicability of diagnostic checks to ADL models for integrated variables is examined. An indirect approach to obtaining asymptotically valid checks is proposed.

KW - COVARIANCE-MATRIX ESTIMATOR

KW - EQUILIBRIUM RELATIONSHIPS

KW - LONG-RUN

KW - HETEROSKEDASTICITY

KW - HETEROSCEDASTICITY

M3 - Article

VL - 66

SP - 222

EP - 237

JO - Manchester school

JF - Manchester school

SN - 1463-6786

IS - 2

ER -