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- W132078780 abstract "This paper proposes two types of autocorrelation tests based on a methodology that uses an auxiliary regression, named Gauss–Newton regression. All tests are derived considering that the regression function contains contemporary values of endogenous variables, situation in which the model is estimated using the nonlinear instrumental variables method. The first type of test intends to identify the presence of serial correlation, whether genuine or not. The second type of test is proposed to distinguish the genuine serial correlation from the non-genuine serial correlation, being the latter an evidence of misspecification. This study also shows that this second type of test, called the “Common Factor Restrictions” test, can be deduced as a χ 2 test or as a t test." @default.
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- W132078780 date "2014-01-01" @default.
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- W132078780 title "Testing Serial Correlation Using the Gauss–Newton Regression" @default.
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- W132078780 doi "https://doi.org/10.1007/978-3-319-05323-3_6" @default.
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