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On the harm that ignoring pretesting can cause
Danilov, Dmitry L.; Magnus, Jan R. - In: Journal of econometrics 122 (2004) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10002136485
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Nonnested testing for autocorrelation in the linear regression model
Silvapulle, Paramsothy - In: Journal of econometrics 58 (1993) 3, pp. 295-314
Persistent link: https://www.econbiz.de/10001149103
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Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrelation is present
King, Maxwell L. - In: Journal of econometrics 3 (1989), pp. 285-301
Persistent link: https://www.econbiz.de/10001063364
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The sensitivity of OLS when the variance matrix is (partially) unknown
Banerjee, Anurag Narayan; Magnus, Jan R. - In: Journal of econometrics 92 (1999) 2, pp. 295-323
Persistent link: https://www.econbiz.de/10001400172
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Fractional differencing and long memory processes
Baillie, Richard (contributor); King, Maxwell L. (contributor) - In: Journal of econometrics 73 (1996) 1
Persistent link: https://www.econbiz.de/10001206521
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Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
Rahman, Shahidur - In: Journal of econometrics 82 (1998) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001228498
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The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Magnus, Jan R. - In: Journal of econometrics 42 (1989) 2, pp. 157-179
Persistent link: https://www.econbiz.de/10001071077