Professor Leslie G Godfrey
Emeritus Professor of Econometrics
BA(Exeter), MSc(London)
Fellow of Journal of Econometrics
Research / supervision interests
I am willing to supervise in the following areas: the implementation and interpretation of tests of the adequacy of econometric models; and econometric aspects of the testing of non nested models.
Selected output
Full details of publications can be found at RePEc
Book
- Bootstrap Tests for Regression Models, Palgrave MacMillan, 2009.
Papers
- ''Testing for heteroskedasticity and predictive failure in linear regression models', Oxford Bulletin of Economics and Statistics, 70 (2009), 415-429.
- (with Alessandra Canepa) 'Improvement of the quasi-likelihood ratio test in ARMA models: some results for bootstrap methods', Journal of Times Series Analysis, 28 (2007), 434-453.
- ''Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models', Special Issue on Computational Econometrics, Computational Statistics and Data Analysis, 51 (2007), 3282-3295.
- ''On the asymptotic validity of a bootstrap method for testing nonnested hypotheses', Economics Letters, 94 (2007), 408-413.
- (with C.D. Orme and J.M.C. Santos Silva) 'Simulation-based tests for heteroskedasticity in linear regression models: some further results', Econometrics Journal, 9 (2006), 76-97.
- ''Controlling the overall significance level of a battery of least squares diagnostic tests', Oxford Bulletin of Economics and Statistics, 67 (2005), 263-279.