On Small Sample Properties of the Wald, LR and LM Tests in a Linear Model with AR(1) Errors

DOI10.1080/03610919008812921MaRDI QIDQ4019136zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• An Edgeworth Test Size Correction for the Linear Model with AR(1) Errors
• Estimating the autocorrelated error model with trended data
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Small sample properties of modified Prais-Winston estimators in hypothesis testing in a linear model with \(AR(1)\) errors
• The jackknife and regression with \(AR(1)\) errors
• The properties of some covariance matrix estimators in linear models with AR(1) errors

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