A Specification Test for Models Estimated by GLS
提出一种新的设定检验，可简便地应用于广义最小二乘估计的回归模型，是F检验的变体，并针对AR(1)误差的常见情形详细推导，附两个实证例子。
We develop a new specification test which can easily be applied to regression models that have been estimated by generalized least squares. The test is a variant of the F-test. It is derived for the general case, and also, in more detail, for the commonly encountered case of models with AR(1) errors. Two empirical examples are presented, one of them involving a well-known model of exchange rate determination.