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Course: D 107450, Fall 2009
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RATE-OPTIMAL DATA-DRIVEN SPECIFICATION TEST BY THI THUY ANH VO AND ALAIN GUAY [Resume] 1. Introduction Consider a linear autoregressive distributed lag dynamic regression (AD) model: ( 0) ( B)Yt = c + (1) ( B ) X 1t + ....... + ( q ) + u t where the ( j ) ( B ) = (0) l =0 mj ij B l are polynomials of order mj in lag operator B associated with the dependant variables Yt and the q exogenous variables...

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