Finite-sample power of tests for autocorrelation in models containing lagged dependent variables

DOI10.1016/0165-1765(84)90080-6zbMath1273.62268OpenAlexW2021388667MaRDI QIDQ374905

Brett A. Inder

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(84)90080-6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (5)

The small-sample power of Durbin's \(h\) test revisited ⋮ Further results on the \(h\)-test of Durbin for stable autoregressive processes ⋮ The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors ⋮ Testing for residual correlation of any order in the autoregressive process ⋮ Testing for autocorrelation in the presence of lagged dependent variables

Cites Work

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• The small sample bias of Durbin's tests for serial correlation when one of the regressors is the lagged dependent variable and the null hypothesis is true
• Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables
• On the Small-Sample Power of Durbin's h Test
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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