Finite‐sample power of the Durbin–Watson test against fractionally integrated disturbances
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Publication:3367412
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)
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Uses Software
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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