Originally published in 1987. This collection of original papers deals with various issues of specification in the context of the linear statistical model. The volume honours the early econometric work of Donald Cochrane, late Dean of Economics and Politics at Monash University in Australia. The chapters focus on problems associated with autocorrelation of the error term in the linear regression model and include appraisals of early work on this topic by Cochrane and Orcutt. The book includes an extensive survey of autocorrelation tests; some exact finite-sample tests; and some issues in preliminary test estimation. A wide range of other specification issues is discussed, including the implications of random regressors for Bayesian prediction; modelling with joint conditional probability functions; and results from duality theory. There is a major survey chapter dealing with specification tests for non-nested models, and some of the applications discussed by the contributors deal with the British National Accounts and with Australian financial and housing markets.

chapter 1|5 pages


ByMaxwell L. King, David E. A. Giles

part I|124 pages

Linear regression with autocorrelated errors

chapter 2|10 pages

The Cochrane and Orcutt papers

ByE. J. Hannan

chapter 3|55 pages

Testing for autocorrelation in linear regression models: a survey

ByMaxwell L. King

chapter 4|7 pages

Linear regression with correlated errors: bounds on coefficient estimates and t-values

ByGrant H. Hillier, Maxwell L. King

chapter 5|18 pages

Efficiency of estimators in the regression model with first-order autoregressive errors

ByL. Magee, A. Ullah, V.K. Srivastava

chapter 6|18 pages

Autocorrelation pre-test estimation in models with a lagged dependent variable

ByDavid E. A. Giles, Murray Beattie

chapter 7|14 pages

Some aspects of mis-specification in the linear model

ByPeter Praetz

part II|86 pages

General Model Specification Issues

chapter 9|52 pages

Specification tests for separate models: a survey

ByMichael McAleer

chapter 10|20 pages

Functional forms in intertemporal duality

ByKeith R. McLaren, Russel J. Cooper

part III|34 pages

Some Statistical Issues

chapter 11|15 pages

Asymptotic Spectral Analysis of Cross-Product Matrices

ByG.S. Watson

chapter 12|17 pages

Bayesian prediction with random regressors

ByArnold Zellner, Soo-Bin Park

part IV|51 pages


chapter 13|15 pages

How accurate are the British national accounts?

ByRichard Stone

chapter 14|21 pages

The pattern of financial asset holdings in Australia

ByKenneth W. Clements, John C. Taylor

chapter 15|13 pages

Dwelling commencements in Australia: lags and autocorrelation

ByRoss A. Williams