Finite sample power of linear regression autocorrelation tests

DOI10.1016/0304-4076(90)90125-DMaRDI QIDQ582781zbMATH OpenFDO

Authors Helmut Zeisel, Walter Krämer

Publication date 1990

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

zbMATH Keywords

ratios of quadratic formsautocorrelation testsDubin-Watson testlimiting power

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• The limiting power of point optimal autocorrelation tests
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• scientific article; zbMATH DE number 3860187
• A power comparison between autocorrelation based tests
• Testing linear and log-linear regressions with autocorrelated errors
• Finite-sample exact tests for linear regressions with bounded dependent variables

Cites work

• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• scientific article; zbMATH DE number 3357817 (Why is no real title available?)
• scientific article; zbMATH DE number 3401978 (Why is no real title available?)
• A Simple Test for Serial Correlation in Regression Analysis
• A point optimal test for autoregressive disturbances
• The Power of the Durbin-Watson Test
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• The power of the Durbin-Watson test for regressions without an intercept

Cited in

(19)

• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• Power properties of invariant tests for spatial autocorrelation in linear regression
• Conditional Information in Projections of Gaussian Vectors
• On the robustness of the F-test to autocorrelation among disturbances
• Finite sample power of Clifford-type tests for spatial disturbance correlation in linear regres\-sion
• Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
• The limiting power of point optimal autocorrelation tests
• HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION
• The exact powers of some autocorrelation tests when the disturbances are heteroscedastic
• On the power of invariant tests for hypotheses on a covariance matrix
• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• scientific article; zbMATH DE number 3878183 (Why is no real title available?)
• The limiting power of the durbin-watson test
• Testing for spatial autocorrelation: the regressors that make the power disappear
• scientific article; zbMATH DE number 3856250 (Why is no real title available?)
• The power of unit root tests under local-to-finite variance errors
• Bootstrap tests for autocorrelation.
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• Finite sample properties of tests based on prewhitened nonparametric covariance estimators

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