An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors

DOI10.2307/1911057zbMath0682.62066OpenAlexW1996393055MaRDI QIDQ4732007

Lonnie Magee

Publication date: 1989

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911057

zbMATH Keywords

simulation studytests of linear hypothesesover-rejectionAR(1) errorseffect of autocorrelationEdgeworth size correction

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)

Related Items (5)

Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model ⋮ On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors ⋮ Edgeworth-adjusting test statistics for ar(1) errors ⋮ Resampling methods for tests in regression models with autocorrelated errors ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS

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