Double-length regressions for the Box–Cox difference model with heteroskedasticity or autocorrelation

This paper derives Lagrange multiplier tests based on artificial double length regressions (DLR) to jointly test for differenced linear or loglinear models with no heteroskedasticity or autocorrelation against a more general differenced Box–Cox model with heteroskedasticity or autocorrelation. These tests are easy to implement and are illustrated using an empirical example.