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The information matrix test in the linear regression with ARMA errors
Authors:Marilena Furno
Affiliation:(1) University di Cassino, Via S. Lucia 173, 80132 Napoli, Italy
Abstract:Summary The paper shows that the informaton matrix test presented by White (1982) decomposes into the sum of quadratic forms in the case of a linear model with ARMA errors. By extending previous results, which analysed the information matrix test in the presence of serial correlation, the test allows detection of additional sources of misspecification.
Keywords:information matrix test  ARMA process  conditional heteroskedasticity  non-normality  bilinearity
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