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

DOI10.1016/0304-4076(94)90091-4MaRDI QIDQ1318979zbMATH OpenOpenAlexFDO

Authors 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

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05)

Cites work

• A point optimal test for autoregressive disturbances
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
• Finite sample power of linear regression autocorrelation tests
• scientific article; zbMATH DE number 3357817 (Why is no real title available?)
• scientific article; zbMATH DE number 3401978 (Why is no real title available?)
• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• On the power of the durbin-watson test under high autocorrelation
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Testing for the Independence of Regression Disturbances
• The limiting power of point optimal autocorrelation tests
• The power of the Durbin-Watson test for regressions without an intercept
• The power of the Durbin-Watson test when the errors are heteroscedastic
• The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present

Describes a project that uses

Uses Software

• AS 155
• SHAZAM

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