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Joint tests for regularity and autocorrelation in allocation systems
Author(s) -
Deschamps P. J.
Publication year - 1993
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950080207
Subject(s) - autocorrelation , lagrange multiplier , autoregressive model , homogeneity (statistics) , mathematics , multiplier (economics) , context (archaeology) , computer science , econometrics , mathematical optimization , statistics , paleontology , biology , economics , macroeconomics
Abstract In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies autocorrelation of an arbitrary given order. We also derive generic expressions for the maximum likelihood estimation of the models under six possible combinations of constraints. The methodology is illustrated with the Rotterdam model and the differential AIDS model, both estimated from the same quarterly British data.