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A new test for residual randomness in a class of dynamic autocorrelated econometric models |
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| Authors: | L. R. Kerward |
| Abstract: | This paper presents a new test statistic for dynamic or stochastic mis-specification for the dynamic demand or dynamic adjustment class of economic models. The test statistic is based on residual autocorrelations, asymptotically X2 and is suspected to be of low power. The test is illustrated with an example from recent econometric literature. |
| Keywords: | Dynamic models stochastic mis-specification test statistic residual autocorrelation asymptotic distribution. |