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The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics.

Breusch, T S; Pagan, A R - In: Review of Economic Studies 47 (1980) 1, pp. 239-53

Persistent link: https://www.econbiz.de/10005242553

Australian Stock Market Volatility: 1875-1987.

Kearns, P; Pagan, A R - In: The Economic Record 69 (1993) 205, pp. 163-78

This paper investigates the volatility of monthly Australian stock returns over the period 1875-1987. There has been extensive work on this question in the United States but little with data outside that country. The authors' analysis centers upon whether the stylized facts regarding returns in...

Persistent link: https://www.econbiz.de/10005315831

Shocking Stories.

Levtchenkova, S; Pagan, A R; Robertson, J C - In: Journal of Economic Surveys 12 (1998) 5, pp. 507-32

The paper provides a survey of methods that decompose multivariate series into permanent and transitory components by using ideas drawn from the co-integration literature. We adopt a two stage procedure to effect the decomposition. In the first stage a basic set of permanent and transitory...

Persistent link: https://www.econbiz.de/10005662714

Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors.

Pagan, A R; Nicholls, D F - In: Review of Economic Studies 43 (1976) 3, pp. 383-87

Persistent link: https://www.econbiz.de/10005672905

Assessing the Variability of Inflation.

Pagan, A R; Hall, A D; Trivedi, P K - In: Review of Economic Studies 50 (1983) 4, pp. 585-96

Persistent link: https://www.econbiz.de/10005161413

How Reliable Are ORAN I Conclusions?

Pagan, A R; Shannon, J H - In: The Economic Record 63 (1987) 180, pp. 33-45

This paper seeks to systematically review the main criticisms of the ORANI model by dev eloping a graphical version of a two-sector (exportables and nonexpor tables) miniature ORANI model. This model shows that ORANI results oc cur because while supply curves in both sectors have similar slopes,...

Persistent link: https://www.econbiz.de/10005682097

A Simple Test for Heteroscedasticity and Random Coefficient Variation.

Breusch, T S; Pagan, A R - In: Econometrica 47 (1979) 5, pp. 1287-94

Persistent link: https://www.econbiz.de/10005702027

Heteroscedasticity in Models with Lagged Dependent Variables.

Nicholls, D F; Pagan, A R - In: Econometrica 51 (1983) 4, pp. 1233-42

Persistent link: https://www.econbiz.de/10005702413

Specification of the Disturbance for Efficient Estimation-An Extended Analysis.

Nicholls, D F; Pagan, A R - In: Econometrica 45 (1977) 1, pp. 211-17

Persistent link: https://www.econbiz.de/10005231376