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

DOI10.1016/0304-4076(75)90034-2zbMath0308.62059OpenAlexW1564972282MaRDI QIDQ1218703

Byron G. Spencer

Publication date: 1975

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(75)90034-2

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (4)

The small-sample power of Durbin's \(h\) test revisited ⋮ Finite-sample power of tests for autocorrelation in models containing lagged dependent variables ⋮ Testing autocorrelation in a system perspective testing autocorrelation ⋮ Testing for autocorrelation in the presence of lagged dependent variables

Cites Work

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• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• A Note on Serial Correlation Bias in Estimates of Distributed Lags
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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