Specification Tests for the Partial Adjustment and Adaptive Expectations Models
通过将部分调整和适应性预期模型嵌套到更一般的模型中，推导出似然比、拉格朗日乘子和沃尔德检验，并用蒙特卡洛实验评估这些检验在小样本中的效力。
Abstract The partial adjustment and adaptive expectations hypotheses give rise to simple dynamic models with a long history in empirical research. Tests of their adequacy, however, do not appear to figure prominently in the literature. Specification tests are derived by nesting these two models in the more general partial adjustment‐adaptive expectations model and deriving the likelihood ratio, Lagrange multiplier, and Wald tests. Monte‐carlo experiments are conducted to assess the power of these tests (together with other tests, including Durbin's h ‐test) for small samples.