This paper develops an extremely general procedure for performing a wide variety of model specification tests by running artificial linear regressions. Inference may then be based either on a Lagrange Multiplier statistic from the procedure, or on conventional asymptotic t or F tests based on...

Associated with every popular nonlinear estimation method is at least one "artificial" linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful for numerical optimization, testing hypotheses,...

Artificial linear regressions often provide a convenient way to calculate test statistics and estimate covariance matrices. This paper discusses one family of these regressions, called "double-length" because the number of observations in the artificial regression is twice the actual number of...

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter b which must be estimated, simple tabulation is not feasible. Partly due to the...

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of...

This paper employs response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen The paper provides tables of critical values that are very much more accurate than those available...

In this paper we estimate the demand for refined copper in the United States, taking account of the fact that, during much of the sample period, copper supplies were rationed. The model employed here, which is closely related to the Tobit model, is much simpler than those models previously used...