Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
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Publication:806872
DOI10.1016/0304-4076(91)90080-WzbMath0729.62079OpenAlexW2263785007MaRDI QIDQ806872
Maxwell L. King, Jean-Marie Dufour
Publication date: 1991
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(91)90080-w
tests for independenceautocorrelation coefficientlocally best invariantfirst-order autoregressive normal disturbancesnumerical power comparisonsoptimal invariant testspoint-optimal invariant teststests for unit-root hypotheses
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)
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