Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances

DOI10.1111/j.1368-423X.2005.00171.xzbMath1078.62092OpenAlexW2072925062MaRDI QIDQ3367412

Walter Kramer, Christian Kleiber

Publication date: 24 January 2006

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00171.x

zbMATH Keywords

powerlong memoryautocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION ⋮ ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX ⋮ POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION ⋮ The power of unit root tests under local-to-finite variance errors

Uses Software

• R

Cites Work

• Finite sample power of linear regression autocorrelation tests
• Limiting power of unit-root tests in time-series regression
• A point optimal test for autoregressive disturbances
• The power of the Durbin-Watson test for regressions without an intercept
• The alternative Durbin-Watson test. An assessment of Durbin and Watson's choice of test statistic
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Power-law correlations, related models for long-range dependence and their simulation
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• Finite sample efficiency of OLS in linear regression models with long-memory disturbances

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