A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model

DOI10.2307/2526843MaRDI QIDQ3203886zbMATH OpenOpenAlexFDO

Authors Brett A. Inder

Publication date 1990

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/266961/files/monash-084.pdf

zbMATH Keywords

powerMonte Carlo studycritical valueslagged dependent variablesmall-disturbance asymptoticstesting for first order autoregressive errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
• On a new test for autocorrelation in regression models under nonnormality
• A diagnostic for autocorrelation of the disturbances in regression models
• Testing for Autocorrelation in Dynamic Random Effects Models
• A new test for normality in linear autoregressive models
• Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

Cited in

(24)

• Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
• Testing for autocorrelation in the presence of lagged dependent variables
• Linear models with correlated disturbances
• The application of the durbin-watson test to the dynamic regression model under normal and non-normal errors
• A point optimal test for autoregressive disturbances
• Testing for Autocorrelation in Dynamic Random Effects Models
• A Bayesian test for first-order autocorrelations in regression analysis
• Higher order generalisation of first order autoregressive tests
• scientific article; zbMATH DE number 4131514 (Why is no real title available?)
• A new test for fourth-order autoregressive disturbances
• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
• CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• A Bayesian note on competing correlation structures in the dynamic linear regression model
• scientific article; zbMATH DE number 3856250 (Why is no real title available?)
• A diagnostic for autocorrelation of the disturbances in regression models
• An improved selection test between autoregressive and moving average disturbances in regression models
• A joint test for serial correlation and heteroscedasticity
• Finite-sample power of tests for autocorrelation in models containing lagged dependent variables
• Testing linear and log-linear regressions with autocorrelated errors
• Testing of functional forms of regressions with lagged dependent variable and autocorrelated errors
• A robust test for autocorrelation in the presence of a structural break in variance
• On a new test for autocorrelation in regression models under nonnormality
• A simple test for the consistency of dynamic linear regression in rational distributed lag models

This page was built for publication: A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3203886)