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

DOI10.1111/J.1368-423X.2005.00171.XzbMATH Open1078.62092OpenAlexW2072925062MaRDI QIDQ3367412FDOQ3367412

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

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• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE

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)

Cites Work

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

Cited In (10)

• HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• 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
• The power of the Durbin-Watson test for regressions without an intercept
• Power properties of invariant tests for spatial autocorrelation in linear regression
• Title not available (Why is that?)
• ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE
• On the power of invariant tests for hypotheses on a covariance matrix
• The limiting power of the durbin-watson test

Uses Software

• R

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