Resampling methods for tests in regression models with autocorrelated errors

DOI10.1016/0165-1765(91)90033-HMaRDI QIDQ1189335zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
• Approximate Normality of Generalized Least Squares Estimates
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Bartlett's correction and the bootstrap in normal linear regression models
• Bootstrap tests for generalized least squares regression models
• Estimating the autocorrelated error model with trended data
• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• The jackknife and regression with \(AR(1)\) errors
• Theoretical comparison of bootstrap confidence intervals

Cited in

(4)

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

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