The widely used Cochrane-Orcutt and Hildreth-Lu procedures for estimating the parameters of a linear regression model with first-order serial correlation typically ignore the first observation. An alternative maximum likelihood procedure is recommended in this paper. This procedure is preferable...

We develop a version of the differencing specification test which may be used to test models with serially correlated errors. The test is worked out for the general case, and in more detail for the commonly-encountered case of models with AR(1) errors. As an example, the test is applied to a...

Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than...

This paper proves the existence of general economic equilibrium in a class of general equilibrium models where there may be increasing returns to scale in some industries, and in which both production and consumption decisions may be influenced by the level of production in some industries. The...

This paper discusses several statistical techniques which can be used to test the validity of a possibly nonlinear and multivariate regression model, using the information provided by estimating one or more alternative models on the same set of data. The techniques we propose can be regarded as...

This paper investigates the small-sample properties of several forms of the Lagrange Multiplier test. We find that alternative variants of the LM test, which can be easily computed from artificial linear regressions, perform very differently in small samples. One variant appears to be acceptably...

This paper uses a general equilibrium model of residential land use to study the effects of the property tax in a closed city. Two different specifications of the production technology for housing are used, and yield similar results. The model is too complicated to be solved in closed form, but...

It has been recently argued that unanticipated changes in nominal money supply affect real money demand, and empirical results appear to support this hypothesis. Unfortunately, the econometric techniques used yield severely biased and inconsistent estimates. This paper shows how valid estimates...

This paper uses Monte Carlo experiments and regression methods to calculate approximate asymptotic distribution functions for a number of well-known unit root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the...

This paper develops a general procedure for performing a wide variety of model specification tests by running artificial linear regressions and then using conventional significance tests. In particular, this procedure allows us to develop non-nested hypothesis tests for any set of models which...