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Journal of Econometrics

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Опубликовано на портале: 06-04-2004
A. Colin Cameron, Pravin K. Trivedi Journal of Econometrics. 1990.  Vol. 46. No. 3. P. 347-364. 
A property of the Poisson regression model is mean-variance equality, conditional on explanatory variables. "Regression-based" tests for this property are proposed in a very general setting. Unlike classical statistical tests, these tests require specification of only the mean-variance relationship under the alternative, rather than the complete distribution whose choice is usually arbitrary. The optimal regression-based test is easily computed as the t-test from an auxiliary regression. If a distribution under the alternative hypothesis is in fact specified and is in the Katz system of distributions or is Cox's local approximation to the Poisson, the score test for the Poisson distribution is equivalent to the optimal regression-based test.
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Опубликовано на портале: 25-10-2007
Svend Hylleberg, Robert F. Engle, Clive W. J. Granger, Byung Sam Yoo Journal of Econometrics. 1990.  Vol. 44. No. 1. P. 215-238. 
This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values. Representations for multivariate processes with combinations of seasonal and zero-frequency unit roots are developed leading to a variety of autoregressive and error-correction representations. The techniques are used to examine cointegration at different frequencies between consumption and income in the U.K.
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