The exact powers of some autocorrelation tests when the disturbances are heteroscedastic

DOI10.1016/0304-4076(94)90091-4zbMath0800.62536MaRDI QIDQ1318979

John P. Small

Publication date: 12 April 1994

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

Full work available at URL: https://ageconsearch.umn.edu/record/263071/files/canterbury-nz-044.pdf?subformat=pdfa

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62Q05: Statistical tables

Uses Software

• SHAZAM
• AS 155

Cites Work

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• Finite sample power of linear regression autocorrelation tests
• A point optimal test for autoregressive disturbances
• The power of the Durbin-Watson test when the errors are heteroscedastic
• The power of the Durbin-Watson test for regressions without an intercept
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• On the power of the durbin-watson test under high autocorrelation
• CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
• The limiting power of point optimal autocorrelation tests
• Testing for the Independence of Regression Disturbances