This paper is concerned with the problem of testing the hypothesis that the disturbances of a regression model are generated by a first-order autoregressive process against the alternative assumption that they follow a first-order moving average scheme. The test proposed has the advantages of...

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...

This paper examines the usefulness of H. White's (1982) information matrix test and test for heteroskedasticity of unspecified form as general checks of adequacy in the context of linear models. Asymptotic analysis and Monte Carlo results are provided, with the latter covering a number of...

Instrumental variable tests for serial correlation can be carried out by adding lagged residuals from initial estimation to the regressors of the model under scrutiny and then checking their joint significance. It is shown that asymptotically valid tests are obtained if the lagged residuals are...