Abstract
Publisher Summary Many tests of the adequacy of the specification of a linear regression have been proposed and used by econometricians. One of the commonly used tests is to subdivide the sample period and test that the parameters remain constant between the subperiods. A closely related test has recently been formulated in the frequency domain by Engle (1974). In this test, the regression is estimated on subsets of the spectrum so that, for example, a regression could be estimated using only the low-frequency components of the data. An exactly analogous test is available to determine whether the parameters are the same for different frequency bands. Both of these tests provide useful regression diagnostics, and they complement each other in that they are powerful against different types of alternatives.
Keywords
StatisticsRegressionRegression analysisRegression diagnosticMathematicsSegmented regressionLinear regressionCross-sectional regressionLocal regressionTest (biology)Factor regression modelProper linear modelLagrange multiplierF-testPolynomial regressionEconometricsMathematical optimization
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Publication Info
- Year
- 1980
- Type
- preprint
- Pages
- 309-321
- Citations
- 5
- Access
- Closed
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Cite This
Robert F. Engle
(1980).
Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic.
RePEc: Research Papers in Economics
, 309-321.