Godfrey, L. G. Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. (English) Zbl 0395.62062 Econometrica 46, 1293-1301 (1978). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 1 ReviewCited in 60 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62G10 Nonparametric hypothesis testing Keywords:Asymptotic Properties; Testing; Autoregressive Model; Moving Average; Error Model; LagGed Dependent Variables; Lagrange Multipliers PDFBibTeX XMLCite \textit{L. G. Godfrey}, Econometrica 46, 1293--1301 (1978; Zbl 0395.62062) Full Text: DOI