On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors
DOI10.1080/03610919008812921zbMATH Open0850.62228OpenAlexW2069869464MaRDI QIDQ4019136FDOQ4019136
Authors: Hideo Kozumi 
Publication date: 16 January 1993
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919008812921
Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
- Estimating the autocorrelated error model with trended data
- The properties of some covariance matrix estimators in linear models with AR(1) errors
- A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
- The jackknife and regression with \(AR(1)\) errors
- Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
- An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
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