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Orthogonality Tests in Linear Models[Note 1. The author gratefully acknowledges the financial support of the ...]
Author(s) -
Ahn Seung C.
Publication year - 1997
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.00056
Subject(s) - heteroscedasticity , orthogonality , autocorrelation , wald test , econometrics , mathematics , statistics , simple (philosophy) , linear model , statistical hypothesis testing , philosophy , geometry , epistemology
This paper considers several tests of orthogonality conditions in linear models where stochastic errors may be heteroskedastic or autocorrelated. It is shown that these tests can be performed with Wald statistics obtained from simple auxiliary regressions.