The paper questions the appropriateness of the practice known as 'error-autocorrelation correcting' in linear regression, by showing that adopting an AR(1) error formulation is equivalent to assuming that the regressand does not Granger cause any of the regressors. This result is used to...

The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between "linear" and "log-linear" unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed...