Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

Commodity prices, interest rates and the dollar

“…In the latter case, the normality assumption is rejected, and explains the rejection of the joint test for normality for the VAR models with food prices and metal prices at the standard levels of significance. Note: see Godfrey (1978), White (1980) and Doornik and Hansen (1994) for test details. p -values are presented in square brackets.…”

Using the SUR model of tourism demand for neighbouring regions in Sweden and Norway

“…The methodology used in this chapter for misspecification testing follows Godfrey (1988) and Shukur (2002). To test for autocorrelation, we apply the F-version of the Breusch (1978) and Godfrey (1978) test. We use White (1980) test (including cross products of the explanatory variables) to test for heteroscedasticity and Ramsey's (1969) RESET test to test for functional misspecification (Ramsey, 1969).…”

Neglected serial correlation tests in UCARIMA models

“…Godfrey 1988). Generalisations to test Arma(p, q) vs Arma(p + k, q) for k > 1 are straightforward, since they only involve higher order (circulant) autocovariances of f t , as in Godfrey (1978b). Similarly, it is easy to show that Arma(p + k, q) and Arma(p, q + k) multiplicative alternatives are also locally equivalent.…”