Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors

DOI10.2307/2938212zbMath0727.62086OpenAlexW3021240080MaRDI QIDQ3349822

Jean-Marie Dufour

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938212

zbMATH Keywords

projection methodautocorrelationlinear restrictionsexact testsunion-intersection methodconservative confidence setsfirst-order autoregressive Gaussian disturbancesgeneralized bounds testsnuisance parameter problemsimultaneous confidence set

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)

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