Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium
利用拉格朗日乘子检验原理，推导出在市场非均衡模型中检验扰动项序列依赖的简单统计量，并通过模拟和实际数据验证其有限样本性能。
The assumption of serial independence of disturbances is the starting point of most of the work done on analyzing market disequilibrium models. We derive tests for serial dependence given normality and homoscedasticity using the Lagrange multiplier (LM) test principle. Although the likelihood function under serial dependence is very complicated and involves multiple integrals of dimensions equal to the sample size, the test statistic we obtain through the LM principle is very simple. We apply the test to the housing-start data of Fair and Jaffee (1972) and study its finite sample properties through simulation. The test seems to perform quite well in finite samples in terms of size and power. We present an analysis of disequilibrium models that assumes that the disturbances are logistic rather than normal. The relative performances of these distributions are investigated by simulation.