Resampling methods for tests in regression models with autocorrelated errors

DOI10.1016/0165-1765(91)90033-HzbMath0850.62874OpenAlexW1971883561MaRDI QIDQ1189335

Robert K. Rayner

Publication date: 26 September 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90033-h

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Resampling a nonlinear regression model in the frequency domain ⋮ Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley) ⋮ Bootstrapping time series models ⋮ The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors

Cites Work

• Unnamed Item
• The jackknife and regression with \(AR(1)\) errors
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• Bootstrap tests for generalized least squares regression models
• Theoretical comparison of bootstrap confidence intervals
• Estimating the autocorrelated error model with trended data
• Bartlett's correction and the bootstrap in normal linear regression models
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Approximate Normality of Generalized Least Squares Estimates
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors