Date of this Version
December 1991
Document Type
Discussion Paper
Abstract
Extract:
Plosser and Schwert [1977,1978] and Plosser, Schwert and White [1982] introduced the idea of differencing a regression equation as a means of testing the specification of that equation. The idea is a nice one because of its simplicity - "if a model is correctly specified, the estimators from the differenced and undifferenced models should have the same probability limit." If the model is misspecified, regression should lead to different results.
COinS
Publication Details
Raymond P. Byron (1991) Differencing as a Test of Specification
School of Business Discussion Paper ; No. 17, Dec. 1991
© Copyright Raymond P. Byron and the School of Business, Bond University