The final specification of each model estimated is given in Chapter
VI. The non-price predetermined variables included in the final speci
fication of each model are as discussed in Chapter IV. The prices
(current and/or lagged) which are found in the Mj set of each price
model, however, were selected initially via the impulse response models
and statistical criteria. The models were initially estimated with the
full complement of current and/or lagged prices, as suggested by the
impulse response functions. Due to insignificance (monthly and quar
terly models) and difficulties encountered in obtaining final form
estimates (quarterly models) for lags greater than two, certain prices
were omitted from the final monthly and quarterly models estimated and
presented in Chapter VI. Thus, a form of pretesting was employed to
arrive at the Mj price set for each model.
Once the price models were specified, initial estimates were per
formed to check for serial correlation in the residuals. The total and
partial autocorrelation functions of each model were examined. In
addition, the null hypothesis of no serial dependence (white noise) was
tested for the residual series of each model using the Ljung and Box
(1978) statistic given as