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

DOI10.1111/J.1368-423X.2005.00171.XMaRDI QIDQ3367412zbMATH OpenOpenAlexFDO

Authors Walter Krämer, Christian Kleiber

Publication date 24 January 2006

Published in 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

powerautocorrelationlong memory

Mathematics Subject Classification ID

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

Recommendations

• Finite sample power of linear regression autocorrelation tests
• The limiting power of the durbin-watson test
• The power of the Durbin-Watson test for regressions without an intercept
• On the power of the durbin-watson test under high autocorrelation
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE

Cites work

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

Cited in

(10)

• Power properties of invariant tests for spatial autocorrelation in linear regression
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION
• On the power of invariant tests for hypotheses on a covariance matrix
• The power of the Durbin-Watson test for regressions without an intercept
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• The limiting power of the durbin-watson test
• The power of unit root tests under local-to-finite variance errors
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• scientific article; zbMATH DE number 1917636 (Why is no real title available?)

Describes a project that uses

Uses Software

• R

This page was built for publication: Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3367412)